I love the twitter feed of Carl Carrie and his feed has been very active in the last few years with some amazing links. Decided to write a simple code to parse all the historical tweets in a single html file for each reference.

Wrote a quick script to retrieve all the historical tweets and here is a massive set of link that can take more than a year to go through and understand!

Date Tweet
2022-03-25 Judgyprophet encodes the business estimate of how the event will affect the forecast as a Bayesian informative prior and incorporates that into a Prophet-based forecast.

trend events
damping
level events
changes
and seasonality

Python GitHub:
https://t.co/WmJixQlsqX https://t.co/RP3CEnYYGk
2022-03-25 What if you could create machine learning models by simply talking to an AI?

https://t.co/KMRg2YOKWm https://t.co/0eC8vc3XxS
2022-03-25 Not the first, not the last ML-based Crypto signal and direction classifier service:

Python GitHub:
https://t.co/NnIe2USF3c

E.g.

₿ 60,518 📉 Score: -0.26

https://t.co/EXS8Xg7i7N https://t.co/TCoQcY9dXi
2022-03-25 Cryptocurrency Valuation: An Explainable AI Approach

Paper:
https://t.co/Bqew7z9u6K

Python Code:
https://t.co/R6fqpUf83j

PUR Colab Notebook:
https://t.co/igXI7bscHf

MA Crossover Colab Notebook:
https://t.co/W9ash8eoHL

Buy & Hold Colab Notebook:
https://t.co/2zL2upvhrg
2022-03-24 Data50 - inaugural class of the Data50. These are the bellwether companies in a space with spend > $70B and accounts for over one-fifth of all enterprise infrastructure spend.

Via @a16z

https://t.co/tytjgEvfZX https://t.co/Q0VbBJuhA2
2022-03-24 A SPAC ushers investable quantum tech

https://t.co/trOzIN0FCm
2022-03-24 FastTreeShap: designed to improve the computational efficiency of explainable machine learning SHAP / TreeSHAP for large datasets by using parallel computing.

Blog:
https://t.co/bSBn4IdNKP

NeurIPS 2021 XAI4 Paper:
https://t.co/xNMzfvwYWC

Python GitHub:
https://t.co/6bDhZEPUwM https://t.co/16YESk0EFB
2022-03-22 Economics and risk profile of making Liquidity in Crypto

https://t.co/aNIbd03D0t https://t.co/ZB25ViWaBY
2022-03-21 Empirical intraday returns, volatility and information flows analysis of Bitcoin using a Mixture model - (2021) paper

“Time-Varying Volatility in Bitcoin Market and Information Flow at Minute-Level Frequency”

https://t.co/1lKCAdKS7F https://t.co/l7PRu83811
2022-03-20 Data Structures and Algorithms #ebook

https://t.co/E0185OKnbU https://t.co/o4KlRC7TkN
2022-03-16 Make research more usable and actionable by inserting it in a graph - ORKG

Open Research Knowledge Graph (https://t.co/eYnHrkBgrn)
https://t.co/DH6B4D0Tqa
2022-03-16 Paper on market impact on small futures orders/trades

#TCA #MI

#imbalance

https://t.co/wj9WnXeAwu https://t.co/LM69Edzsfi
2022-03-16 Convexity in stocks: concave vs convex stocks - paper

#gamma #vix #xma factor

https://t.co/3n2HiAHu7c https://t.co/GAdf6yW9cB
2022-03-14 Factor performance in Cold Wars

https://t.co/CcPtDeqEOm
2022-03-13 Correlated, spatial, or fuzzy patterns - PAMI

Python GitHub:
https://t.co/zHsdN0bein https://t.co/Sek1hcbW8c
2022-03-13 Mroib estimator - retail flow, internalization, unwinds and return predictability

https://t.co/tqL3dSEnni

US stock market microstructure paper https://t.co/dnFu4PDmlo
2022-03-13 ACI Volatility Paper - a change-point intensity (CPI) model to describe the dynamics of price-change events for a given level of threshold as a proxy for quote volatility

#volatility #lob #estimator https://t.co/B8XjUaWCZ4
2022-03-13 Messari on Metaverse and Web3 intersection

https://t.co/NjU6sd46GY
(Paywall) https://t.co/14pRMbzhvU
2022-03-12 Another example Jupyter Kaggle Notebook, simple timeseries forecast of a stock illustrating Fedot AutoML library use

https://t.co/AVdJCOL8RX
2022-03-12 AutoML for TimeSeries - Fedot

Article / Code Example:
https://t.co/3Os5Dz702H

Paper:
https://t.co/bpmYBfPcgb

Python GitHub:
https://t.co/LXe57DtjPJ

Jupyter Notebook Examples:
https://t.co/HIrUuaWLnd https://t.co/Rio6pQ1NC1
2022-03-12 Decompose time-series signals into deterministic and stochastic components, improving their individual modeling and forecasting - paper

Empirical Mode Decomposition (EMD)

Paper:
https://t.co/PRH9XWWPpn
2022-03-10 A temporal mixture ensemble, capable of adaptively exploiting, for the forecasting, different sources of data and providing a volume point estimate for cryptocurrency volume - paper

https://t.co/8uPNbzqDd4 https://t.co/5vZw4mKz0T
2022-03-10 Paper (2020) incorporates intraday information into a generalized autoregressive score (GAS) model: realized volatility at 5-min and 10-min sampling frequencies, and overnight returns for estimating risk of stock indices

https://t.co/dKxn3OUp7X
2022-03-09 Hyperactive - AutoML prototyping, feature exploration, data visualizing, optimizing…

Python GitHub:
https://t.co/f31xVKy2Qw https://t.co/gJBx5ylfVt
2022-03-08 Pingouin - a Pandas compatible statistical library

Python GitHub:
https://t.co/LaEaYcwm5j

Jupiter notebook example, robust correlations:
https://t.co/ufWd8cMirh https://t.co/fGUjuf6Hb2
2022-03-08 Deep dive on JPMorgan’s DeFi Playbook

https://t.co/WJIuGTVAWi

#crypto #fintech #web3 https://t.co/6kuQhDQmkO
2022-03-08 ‘Foundations of Data Science with Python’

Interactive #ebook with JupyterCards

https://t.co/cuUot4rzV6 https://t.co/9uafqxggma
2022-03-08 SLearn - Symbolic representation of time-series for motif discovery, clustering, classification, forecasting, and anomaly detection using Scikit Python API.

Repo:
https://t.co/YsZB7g9Ts8

Related paper:
https://t.co/pyCufU1hFq https://t.co/o1Hfq6MqIS
2022-03-08 Binance #lob visualized

Javascript GitHub:
https://t.co/xAjb0P68YS https://t.co/47PTXxgNLq
2022-03-08 Limit Order Book Modeling across multiple horizons using TensorFlow and GPUs for accelerated modeling

#lob Paper:
https://t.co/EEEIc5Thrv

Jupyter Notebook / Python:
https://t.co/CLN7SmIaj2

GitHub Repo:
https://t.co/m4iyj3maOX https://t.co/Wl2i7IHl7Z
2022-03-08 Paper - limit order book trading as a sequential Markovian decision process within a reinforcement learning (RL) framework.

Cancels are a free option
Q-Learning

#lob

https://t.co/vp0XV2WgAW https://t.co/CDilD11u6b
2022-03-08 Deck on Deep Learning applied to Limit Order Book dynamics

https://t.co/IuOs9VwZuA

#lob https://t.co/pP5OGoO1j0
2022-03-08 Deep limit order book modeling of Bitcoin on Coinbase

#lob #crypto

https://t.co/viLmRY6SPA https://t.co/Q1eip0Fzqi
2022-03-05 Pathos - consistent high-level interface for configuring and launching parallel computations across heterogeneous resources - in parallel with graph support, pipes, pools, …

Paper:
https://t.co/aUXveEF7VH

Python GitHub:
https://t.co/V4zuagVqoA

Manual:
https://t.co/fgETWse4K2 https://t.co/ScmsUSqayV
2022-03-05 Mystic is a low-level Python Optimization library to perform programmatic and highly-constrained non-convex optimization and uncertainty quantification with monitor and steer control.

Python Source:
https://t.co/gE9CvrUlXv

Manual:
https://t.co/1qhGGwVoNa https://t.co/sUR8x7AK7W
2022-03-03 Nowcast growth rates of economic indicators

(Background) Paper:
https://t.co/v9BTsNCQC1

#rstats GitHub:
https://t.co/WIxYauwp8y https://t.co/1aW1KHXj3E
2022-03-03 DeepXF - Deep learning-based Explainable Forecasting, Nowcasting and Similarity Matching + low-code

Article:
https://t.co/i4uXHCmk0H

Python GitHub:
https://t.co/2P47asjeNe

#timeseries https://t.co/Ffmk6eoV1s
2022-03-02 Meta’s reasoning AI agents
https://t.co/CINrUoy26Y
2022-03-02 Co-movement in stocks

https://t.co/rO1XUPqVdv AND
https://t.co/kTiQ6ddUJg

#tslearn #fbprophet #smoothing in Python https://t.co/cNNafvA47c
2022-03-02 Paper and code for training a neural-net for prediction using stock embeddings

Paper:
https://t.co/RlR7iXEKb8

Python GitHub:
https://t.co/rAhVP17HCB

Jupyter Notebook:
https://t.co/F76vTFz7Rw https://t.co/i2lDFu5luL
2022-02-27 PySyft - Python PyTorch library extension to compute insights using data that remains federated / local:

#dataprivacy #federatedlearning

Python GitHub:
https://t.co/yPH9OdhvtZ

Federated Learning:
https://t.co/hPug9Bnwb3

Split Neural Nets:
https://t.co/uxX1c7BoKg
2022-02-27 DAO’s provide aligned incentives and decentralized human capital with operational efficiencies - short article provides perspective on why DAOs could be even more relevant in Web3 enterprises in 2022.

https://t.co/8i1rbHhRMX https://t.co/jSQRLxf4GN
2022-02-27 Journal of Financial Data Science - Volume 3 | Number 4 | Fall 2021

https://t.co/q3sAVEMOiM https://t.co/3GC2r7tPNc
2022-02-27 Limit order book event price impact paper #TCA (2021)

https://t.co/uaDJ0zzFzC https://t.co/jDonUua823
2022-02-26 joint estimation and forecasting of dynamic value at risk (VaR) and expected shortfall (ES) in an intraday into a generalized autoregressive score (GAS)

Paper:
https://t.co/h9dqqIQa3o

Realized Risk Measures - Library
https://t.co/gYElHukNQr

Online EDA:
https://t.co/jWBJ7irc5U https://t.co/aEYDPWjEFz
2022-02-26 Cryptocurrency Valuation - with Explainable AI on a decision-tree #ml model with macro and monetary theory features // #Colab Notebooks

Paper:
https://t.co/FzKZavpaew

Python GitHub:
https://t.co/mJ1h6Nq7BZ https://t.co/S5KZutoF07
2022-02-26 A minute-by-minute rolling window intraday estimation method using two nonlinear models: Long-Short-Term Memory (LSTM) neural networks and Random Forests (RF) applied to CBOE Volatility Index (VIX). Alas, new paper but older dataset w/o code.

Paper:
https://t.co/pxyUqDOvlI https://t.co/z680BhzKsp
2022-02-26 Analysis of #HFT on market liquidity, trading costs and competitive dynamics for NASDAQ OMX - market microstructure paper:

https://t.co/GavYOr2LTm https://t.co/0Yqp3cVg78
2022-02-25 Paper on RL-based market-making agent and a deep neural network (DNN)-based price predictor for automated market making // CBOE

Paper:
https://t.co/P9gxp1Inve

#AMM https://t.co/5fpdzw9MU1
2022-02-24 Deriving private information from trade-flows: The model yields a simple private information measure: λ×OIB (order imbalance) that helps explain return reversals, predicts return volatility, & increases before M&A announcements.

Paper: https://t.co/3zJwV0OZgB

#events #insight https://t.co/r6AlaULZyp
2022-02-24 Paper: ‘Benchmark Dataset of Limit Order Book in China Markets’

Deep Learning forecast of upcoming VWAP change and volume over 12 horizons ranging from 1 second to 300 seconds

#Lob #HFT Paper Pdf:
https://t.co/A1tbYE4mve

Python / PyTorch GitHub:
https://t.co/17IKWmllpm https://t.co/pSl7ipBkKx
2022-02-22 @phil_mackintosh opines on US Equity Trading costs - implicit vs explicit, spread cost vs liquidity capture and other aggregate #TCA dynamics

https://t.co/gm7KAkAi2u https://t.co/PaP7N84LvS
2022-02-21 Paper on sectoral centrality

https://t.co/NP7t5qyt9b https://t.co/FNLrpKh9Mh
2022-02-21 Good read on Crypto Protocols as Hyper-structures:
Multi-person Non-zero sum, network-effect games…

https://t.co/sxZNYwm78Q https://t.co/LnSdGqxyrm
2022-02-21 BTCUSD square-root market impact calculation in high frequency using CoinbasePro data, Julia and QuestDB

And compare to CryptoLiquidtyMetrics costs, say for sweeping the book on moderate sized trade:
https://t.co/vc5fCtOQZt

https://t.co/YkT1uMtld4 https://t.co/tdRsFYoUlB
2022-02-21 Order Flow Imbalance #OFI Flow Trading Signal Generation

Julia, QuestDB

https://t.co/0Yd2slTpnr https://t.co/6HjWBva9OK
2022-02-20 JupyT5 a sequence transformer natural language generation model is trained on all publicly available Jupyter Notebooks & solves 77% of benchmark science problems (DSPs)

Microsoft Research Paper:
https://t.co/YbyfjysxBZ

Related Python GitHub:
https://t.co/bxQFCR7AAH

#Bert #NLG https://t.co/UXYkuK9OgI
2022-02-20 NFT Volatility MultiFractal Analysis in this blog post…
https://t.co/6iSfgg9yVb
2022-02-20 #AMM on #DEX - Paper

https://t.co/L0A94EWa4A https://t.co/1UzRCMH0YL
2022-02-20 Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency trading volume - #LoB paper uses imbalance, slope and spread features

https://t.co/8uPNbzqDd4

#AVAT https://t.co/AoL9YRvc4l
2022-02-19 Photophoretic flight

WIRED article:
https://t.co/9n7aAMDKLU

Paper:
https://t.co/TAPnMYhN7E
2022-02-19 Advanced Course in Asset Management by Amundi’s über quant, Thierry Roncalli

over 1,520 Slides

https://t.co/9YPYgTWIaI

Or

https://t.co/IJfNiNTg1S https://t.co/SS2ZyndObI
2022-02-19 Good #Dataviz of Global GDP Breakdowns by @VisualCap

https://t.co/KXAVbhHdHB https://t.co/mZTuBa1oPJ
2022-02-19 Quantile Financial Time Series Forecasting using Temporal Transformers, attention, knowledge transfer and multi-objective optimization - S&P Futures example

Python GitHub:
https://t.co/6RHeezTn0K

Related Paper:
https://t.co/QAFYhqUmjH https://t.co/05qjJCtied
2022-02-19 FinTS - Microsoft’s Azure cloud based time-series forecasting package coded in R

#Rstats GitHub:
https://t.co/jJQS0OpWSX https://t.co/WdJ4XZ6nyk
2022-02-19 From Slang to a new Scala-like financial primitive-loaded computer language at Bridgewater
https://t.co/QYnQrsMzDA
2022-02-19 Collection of Python Jupyter notebooks and blog links for quantitative investment research

https://t.co/VeXhlBkPVj

Blog:
https://t.co/yrLaUyzPRV
2022-02-19 ETNA Is a Python based time, -series forecasting library featuring SOTA methods and optimized for ease-of-use

https://t.co/wm4qZGFo50 https://t.co/cto1f1AEyQ
2022-02-19 QF-lib (QuarkFin) is a financial Python library built at CERN by their Pension team and has features for back testing, portfolio construction, time series analysis, risk monitoring and financial charting

About: https://t.co/dwBATVM8bY

Python GitHub:
https://t.co/lCX4dyzM5S https://t.co/HSQzyiu6Yn
2022-02-19 Comprehensive Guide to Machine Learning (2019)

In particular, this #ebook features extensive coverage of advanced regression techniques - lasso, total least squares…

https://t.co/t8VT6Zuic2 https://t.co/BP0nn8ESd7
2022-02-19 Grist, an open source relational spreadsheet

Vs AirTable
https://t.co/FS4jD3zWED

Typescript GitHub:
https://t.co/RYgdu1Dw2I
2022-02-19 Optimal execution of multi-asset portfolios in a Bayesian framework - #TCA paper

https://t.co/iNB25OgEM0 https://t.co/XuqPG8MUjt
2022-02-17 Stock2Vec - a deep learning framework that leverages both the underlying Alphas and (nonlinear) Betas with a hybrid model that combines the advantages of both representation learning and deep networks

Paper:
https://t.co/9S1p7YiAaI

Alternative Stock2Vec: https://t.co/AoVwp68ZSO https://t.co/FMKdNdYZAS
2022-02-17 Meta has open-sourced Ax - an accessible, general-purpose platform for managing, deploying, and automating adaptive experiments using Meta’s Bayesian Optimization Library - BoTorch (https://t.co/RZPcCeX4d8). Both are open-source

Python GitHub:
https://t.co/ejvpa2CGEt https://t.co/55wN6y9mAt
2022-02-16 JPMorgan’s global head of the Metaverse explains real-world Trillion dollar opportunities in their report

https://t.co/ao5rG1IWJY

JPM’d Decentraland Onyx Lounge virtual location features an image of bank CEO Jamie Dimon, which transforms into an image of Onyx’s Christine Moy.
2022-02-15 NLP NER Named Entity Recognition

Few-NERD is a large-scale, fine-grained manually annotated named entity recognition dataset, which contains 8 coarse-grained types, 66 fine-grained types, 188K sentences, 491K entities and 4.6M tokens.

Python GitHub:
https://t.co/YTRFj12lOz https://t.co/tDjj8CIsLM
2022-02-15 Paper on the Convexity of Stocks and relationships to macro, sector and fundamentals

https://t.co/QjFSDE03du https://t.co/GJIBW4jNyH
2022-02-13 Applied MacroEconomics

GitHub:
https://t.co/dBF9ZGGhOL

Jupyter Python Binder:
https://t.co/QBqznAEoaR
2022-02-13 Principles and Techniques of Data Science Python / Jupyter Intro Data Science #ebook

https://t.co/IR8Vo9c5bV

and
https://t.co/feE4g7sHMr https://t.co/R1DcYBA1Km
2022-02-11 @Mikey0x_ Good thread on the diversity of #DeFi lending mechanisms
2022-02-10 Matrix profiles, Motifs, Shapelets and Microsoft Stock analysis

Paper:
https://t.co/qGrzz5evAb

GitHub:
https://t.co/bahfRt04OS
2022-02-10 A take on why Product Managers should code… At last a little… https://t.co/KRauPycFY0
2022-02-10 “TikTok, which is owned by Chinese tech giant ByteDance, mostly allows third-party trackers to collect your data — and from there, it’s hard to say what happens with it.”

#DataPrivacy https://t.co/3DfsAZCSff
2022-02-10 Neural 🧠 Forecast

NeuralForecast is a Python library for time series forecasting with deep learning models. It includes benchmark datasets, data-loading utilities, evaluation functions, statistical tests, univariate model benchmarks models in PyTorch.

https://t.co/ndeytysUy7 https://t.co/gQmYXngaBz
2022-02-10 @irenealdridge paper on machine learning expandability focus on building trading strategies by constructing
multi-factor regressions of target returns on lagged dominant features only
instead of all factors. Applied to E-mini crude oil futures…

https://t.co/tBR0dNf9mS
2022-02-09 MIT Tech Review on Meta’s multi-modal, multi-tasking AI: https://t.co/pRf3cbzDgR

#Data2Vec - Ai Meta Article:
https://t.co/i40cpZUzsv

Paper:
https://t.co/xaIq8TkYWt
2022-02-09 Collection of open math textbooks #ebooks

https://t.co/Mjd0oIPuFN https://t.co/rd4IuKhWzi
2022-02-07 Talos - fully automating hyperparameter tuning and model evaluation with Keras for TensorFlow and PyTorch models without invasive syntax changes

https://t.co/CqpS7SGSAd

#ml https://t.co/rReVBFMkN5
2022-02-07 Cryptocurrency trading: a comprehensive survey - paper

https://t.co/hgh7byTmLS https://t.co/rZYaVqLAiU
2022-02-07 OpenCBDC - Project to explore creation of central bank digital currency (CBDC), a new form of money which supplements existing central bank reserve account balances and physical currency

https://t.co/IJXLRFEtze

https://t.co/vSBjsSNtsJ

Paper:
https://t.co/JPoVr5xckQ https://t.co/kJ4OQbWFYu
2022-02-07 This systematic mapping study on the structuring of research into cryptocurrency regulation: summarizes the research approaches, topics, contributions and challenges.

https://t.co/D1dU3S6IjJ https://t.co/2sdOadvm4T
2022-02-07 Messari report on 2022 Crypto Outlook

https://t.co/5x3QBx1Pd4 https://t.co/pBu5UrVGul
2022-02-06 @jonathanrlarkin Older style market desktops are powerful but not open to be part of modern cross-platform, cross-cloud workflows and that is a new benchmark to cross with lower code apps
2022-02-06 @jonathanrlarkin At Refinitiv we are building institutional financial Apps using Jupyter & Voila as a base along with a API rich backend (RDP) to power apps with content and analytics as a new powerful way to deliver streaming ML analytics with unusual transparency & extensibility to desktops.
2022-02-06 @jonathanrlarkin What Netflix has done with Papermill and Genie to schedule 150k Notebooks is eye-opening.

1/2
2022-02-06 Tail risk measure estimator culled from intraday short-dated deep out of the money options data and closing prices

https://t.co/tRd49AR3yi https://t.co/UKEuMOoOHK
2022-02-06 Crypto Liquidity Connectedness Paper:
Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and Dash

https://t.co/inW7VQ9vIN https://t.co/xeGp7wbZUg
2022-02-06 Stock liquidity in turbulent times | in FT

https://t.co/I15fvb6Qmr https://t.co/aYB6QmyI9L
2022-02-03 Patterns in Python Programming:
https://t.co/61Qyxp7uwm

And

https://t.co/iE34wShpEz
2022-02-03 @nan_type The ease to apply TPUs, GPU’s and FPGA is exciting…

https://t.co/AxMjxINpca

But we need the cloud optimization to evolve to better economics and performance for standard portfolio optimization
2022-02-03 @nan_type Good point - Guobi is faster than Mosek and this implementation
https://t.co/tpDl1jZu25

However this model is open source under MIT license with pure Python code (no C/C++ optimizations) but a good fit for cloud and parallelization advancements including
https://t.co/qyrCkFpC1x
2022-02-03 Economics of DaaS - Data as a Service

https://t.co/H4qLAap8E2 https://t.co/Sgpl6XoUw8
2022-02-03 Portfolio Optimization of large portfolios (an NP-Hard problem) using the simulated bifurcation algorithm (the application of quantum theory and stochastic calculus)

Python GitHub:
https://t.co/qXyRMnRF3J

Paper:
https://t.co/N7CJPQG4VF
2022-02-03 X as a Service growth report
https://t.co/uNCJIVjCAD https://t.co/SK2y94o5xQ
2022-02-02 A short list of open problems in DeFi https://t.co/DdbeuWvtKl
2022-02-02 AlphaCode enters realm of automated competitive programming
https://t.co/Pmc5t3oXXN
2022-02-02 Amazon retrospective and anatomy of their 6-page narrative and the impact on their business outcomes

#biz
https://t.co/AXgpQNGcYg
2022-02-02 Metaverse real estate dynamics

Location, location, location:
Sandbox, Decentraland, and Cryptovoxels

https://t.co/cBejGlGE2v
2022-02-02 Model-centric startups profiled here

https://t.co/ERbYeQBtpb https://t.co/imgj4YHbzM
2022-02-01 Modeling price impact without averaging using a Hawkes state model of current limit offer book yields a coherent #TCA estimator - paper

https://t.co/lZIGgzI7Hk https://t.co/pWBSUqmmkQ
2022-02-01 Subreddit Wall Street Bets classifier in Python - noise vs worth a read - possible signal

Python GitHub:
https://t.co/AWfQeCiJh0
2022-02-01 Retail stock and crypto trading data and data visualization of Reddit/WSB, short volume, options, insider trading, prices, and technicals

App:
https://t.co/wvTZdnccoa

Python GitHub:
https://t.co/k5htFPzdWn https://t.co/NkE1O6vF2S
2022-02-01 Network Effects deconstructed and explained
https://t.co/YQeLFxeqnO https://t.co/6I6UsfRy7V
2022-01-31 TheEconomist interactive #dataviz on Spotify content: language, crossovers, …

https://t.co/RxhTk2pXkY https://t.co/Kejyn7guAZ
2022-01-31 Facial recognition from DNA? Controversial on many levels.

https://t.co/zojPWM5gmy https://t.co/f5nqF80aYf
2022-01-31 Liquidity commonality using ADV and Close prices and market invariant price impact formulas, liquidity estimator comparisons and code implementation

Python GitHub:
https://t.co/BwlBQGnewt

2016 Paper:
https://t.co/2BRJpLGLdP

#TCA #MI #Stocks
#Liquidity Estimator https://t.co/eFENgegQsw
2022-01-30 Mpservice is a multiprocessing HTTP based service for streaming and async machine learning applications

https://t.co/qzaQVkeElq
2022-01-30 NLP Profiling of Pandas data frames - sentiment, grammar, text complexity…

Jupyter Notebook example:
https://t.co/qsnhf3kThu

Python GitHub:
https://t.co/Hdwv9vFpbH

Slides (PDF)
https://t.co/ZSLrgiJ2xF https://t.co/wYpOx436Y3
2022-01-30 Enombic is a (currently free) service that ranks 75 model based inevitable stock indexes

https://t.co/gYcPSFJqGH https://t.co/t5srNuOX8B
2022-01-30 NewYorker on DAOs: history, governance and utility

https://t.co/ZAjTl2p8ih

#crypto #dao https://t.co/xaOEc5qUXp
2022-01-30 Legal threads on Tokenization

https://t.co/5sbUVPoLi9
2022-01-29 Genesis takes NFT as collateral for Crypto trading | FT
https://t.co/5GjazDfk2C
2022-01-29 @profgalloway on Web3

https://t.co/TdHhRo9G7n
2022-01-29 Knowledge Graphs using AWS Neptune

Into article:
https://t.co/yUPIRFqzPB

Semi-related code:
https://t.co/NULVvv2VbI

https://t.co/O4fUURCyac https://t.co/yJ5kpYMkPP
2022-01-29 Kglab - build knowledge graphs in Python
https://t.co/2zlK2Y01HH

Documentation:
https://t.co/Jwwg3CttaR

Related paper / kglab use case:
https://t.co/74ZZVBf9OH https://t.co/JCqwAMTRA4
2022-01-29 Crypto Pump and Dumps on Telegram

Dataset, Python Code
https://t.co/d63vscB84O

Feature generation:
https://t.co/k6uBBzCpiC

2020 Paper:
https://t.co/mcsrKRL4vr
2022-01-29 Another good article on Product Management by the same author

https://t.co/Afd8KtyajB
2022-01-29 Neuspo - Semantic search aggregation with NLP for Sports orchestration of stories and tweets in real-time

Site:
https://t.co/CGNATsKH9T

Built by
https://t.co/xo0nsZ3Mwe https://t.co/M7nOEdOSHo
2022-01-29 Product Management Anti-Pattern: Feature Factories

https://t.co/KR2P5nNxDX https://t.co/FloFMpX3mb
2022-01-29 Realized volatility prediction - paper

https://t.co/nrBttnk1zN https://t.co/4UuDWTk08D
2022-01-29 DeepTime - Deeptime is a general purpose scikit compatible Python library offering various tools to estimate linear & deep-learning models for time-series

Paper:
https://t.co/Uh6EcpivVb

Python GitHub:
https://t.co/1eC6UwrdkL https://t.co/XItbNhsgcM
2022-01-29 https://t.co/GU0zaJSBic - visual #ml pipelines and notebook / script orchestration

https://t.co/rY7MycAyGa https://t.co/TuyQ4XspPc
2022-01-29 Continual Real-Time Streaming Learning - article

https://t.co/nuwioM1uLB
2022-01-29 PyDP - Google collaboration with Open Mined: differential privacy using Python

Jupyter Notebook Differential Privacy Demo
https://t.co/Pqygwk1958

Python GitHub:
https://t.co/lRM50CuHGs
2022-01-28 Google enters the Blockchajn / Digital Asset Services fray with Cloud based consensus/validator capabilities

https://t.co/NDdo8D0eni
2022-01-28 Project L3 Atom
Full Crypto limit order books reconstructed at scale using HPC + Cloud tech (along with indicators and backtesting)

Article: https://t.co/M5Cqtna7OA

GitHub:
https://t.co/PKHD9jascl https://t.co/4IDlHb1hrg
2022-01-27 A new forecasting framework using Graphs called HIST that can adequately mine the concept-oriented shared information from both predefined and hidden concepts.

#ml Paper:
https://t.co/eNKiWoynGX

Python GitHub:
https://t.co/DBS5YiXBoo https://t.co/FWTkI6rmYh
2022-01-27 Credit Curves from the lens of parameterized survival

https://t.co/g2LUIcfL9u https://t.co/qtNQDprytV
2022-01-27 Bond spread estimators - #liquidity paper

https://t.co/NLvcMC0782 https://t.co/2APAL8i1E6
2022-01-26 AI that builds AI
Hypernetworks

https://t.co/tXJbCPoPgf
2022-01-25 SSGA Quant research on model explainability in #ML investment models

https://t.co/9CQgyC1wWr https://t.co/1zRHso1Apu
2022-01-25 Crypto Factor Structure paper: basis, momentum, combined

https://t.co/CFrkUO2huY https://t.co/y5z1FGWycj
2022-01-25 “marketable
retail order flow imbalance” measure denoted Mroib from publicly-available data sources - paper

Wholesaler incentives, institutional vs retail liquidity

https://t.co/wvmzU9oFAq https://t.co/ZaDvGrErcR
2022-01-25 Latent Dirichlet Allocation (LDA) Mallet Model for analyzing topics in Twitter chats (NOT sentiment) and using topics to develop actionable conversation maps

[ article with embedded Python code snippets ]
https://t.co/cW21PQayxD https://t.co/zoGUmxt10j
2022-01-24 Antropy - several time-efficient algorithms for computing the complexity and entropy of time-series

Python GitHub:
https://t.co/svuhAx6IRT

Documentation:
https://t.co/8grzXAsG8A

Jupyter Notebook example:
https://t.co/bbQkeqQtBf https://t.co/buqJx4DOWe
2022-01-24 When TCA is transparent, dynamic and interactive and infused with alternative data, it elevates the execution function…

https://t.co/seQMT7VUm5
2022-01-24 Multivariate Deep Lift based Stock Prediction

Medium article:
https://t.co/VKnQyaVtu6

Python GitHub:
https://t.co/p8Yt0SNQJV

Jupiter Notebook:
https://t.co/aueu4FUo8L

#LSTM #SHAP

illustrates #dl methodology better than feature engineering https://t.co/LbQVSGOlzp
2022-01-24 Hmmm
https://t.co/4DQhq6xOYM https://t.co/UbBmeOxiX3
2022-01-24 PyTorch Tabular aims to make Deep Learning with Tabular data easy and accessible.

Python PyTorch GitHub:
https://t.co/CpPbMNIgvq

Blog:
https://t.co/lgM7jmRcwE

Paper:
https://t.co/vokdo5AoAe https://t.co/hlDtjCgv1O
2022-01-24 Neural Networks for Delta-Hedging

(simple examples/code)

Paper:
https://t.co/pQqt8OnrVO

Python & PyTorch GitHub:
https://t.co/iwiSVzkaUL
2022-01-24 Deep-Hedgers: PFHedge is an open-source toolkit to apply deep hedging to financial derivatives: e.g. binary options and variance swaps

Uses automatic differentiation and CUDA

Python GitHub:
https://t.co/kUOUg365gf

Example Jupyter notebook:
https://t.co/QVmQ1j9jwx https://t.co/74s6nUf0Eg
2022-01-24 A simple model to illustrate hedging using deep learning

Google Colab:
https://t.co/uiHs1w1szX

Python GitHub:
https://t.co/Ws0iOiuA2w

2019 article that highlights benefits of deep
-hedging
https://t.co/JJyGh7fByU

And a more recent paper:
https://t.co/Hv4HHBKAVd https://t.co/zeNbF9M23g
2022-01-24 The rise of open-source challengers

https://t.co/As4AGsJB0K
2022-01-23 PyAnomaly - a Python library for asset pricing research including statistical time-series tools with a focus on firm characteristics and factor generation.

https://t.co/9vcZZRnaVd https://t.co/1Z3ZGhGhut
2022-01-23 Openseries for financial time series calculations at basket level

https://t.co/wFiOm4QAMb
2022-01-23 Mockseries - mock time-series with structural synthetic data generation

eg [trend +seasonal +noise]

Python GitHub:
https://t.co/GrRe1krCRA https://t.co/hqFKEg4tcN
2022-01-23 Valuing ESOs (Employee Stock Options)

Python GitHub:
https://t.co/d49gv5rXtV

Original 2002 Paper by Hull & White
https://t.co/2rcAmkIXWo https://t.co/sUBoe7mOcJ
2022-01-23 FAMA factorization

Web App:
https://t.co/hSfPMgiTh0

Python Code:
https://t.co/bHqiWKY8QV https://t.co/PXR9l7kJEF
2022-01-23 DistFit - FIt probability distributions

Python GitHub:
https://t.co/3YUTLjD615 https://t.co/qY1dgMFGfG
2022-01-23 Quixotic escapades in extracting knowledge using NLP (mostly biology related but insights are multi-discipline)

Article:
https://t.co/F1DCDWATAn

Table:
https://t.co/etWIGHpsKw
2022-01-23 FinGAT - a fully connected graph between stocks and inter-sector relationships formed with attention to predict stocks that will have highest return ratios

Paper:
https://t.co/mIo75oRnIT

Python GitHub:
https://t.co/89TGjbrLJg https://t.co/3VqO6ZDjxK
2022-01-23 DeepKE: A Deep Learning Based Knowledge Extraction Toolkit for Knowledge Bases

Paper:
https://t.co/K7cY7wMMW6

Python GitHub:
https://t.co/DuJjrxhzZT

#NER Tutorial
https://t.co/RYmEDpJRk8 https://t.co/NPIo4Zndag
2022-01-23 Stock ranking infuses sector/industry, supply-chain and wiki relationships in a graph (eg same co-founders) for relative return prediction (alas, old data set)

Paper:
https://t.co/E3PMOPtb8o

Python GitHub:
https://t.co/xry0eA32Ry
2022-01-23 Google Trends Peak AI
was January 2019?

https://t.co/RFwGBdyxYu https://t.co/lag2qSkHeR
2022-01-20 Creating, selling NFTs on Facebook, Instagram should be expected proud outcomes in the $Meta verse

https://t.co/16VxMAiB3K https://t.co/UXCMjGJGd9
2022-01-20 Code diagrams vs draw them manually…

Article: https://t.co/tVSfVLWNGg https://t.co/iIhElxmkh6
2022-01-20 Event-driven backtesters

VectorBT (supports event and vector bt):
https://t.co/P8v84yKLit

QF
https://t.co/lCX4dyzM5S

QS
https://t.co/utFvixQwl7

AAT
https://t.co/iXdtNxqYeQ

Presso
https://t.co/MjPHy6MHIT

Or roll your own using this template:
https://t.co/vMtNXO5oyD
2022-01-20 Structured Knowledge Grounding (SKG)
leverages structured knowledge to complete requests, such as semantic parsing or Q&A over databases.

Paper:
https://t.co/lcmAalQVlm

Python GitHub:
https://t.co/WSDLlY4siX

Project Page:
https://t.co/LpeVQhm6kK

#NLP #SKG https://t.co/UJNtx2kvmi
2022-01-19 Deep Forests - an effective & powerful option to the tree-based machine learning algorithms such as Random Forest or Boosted Trees.

Python GitHub:
https://t.co/UogW00Ha2C

Get Started:
https://t.co/NZMvqkF9Io

Paper:
https://t.co/QRcQ0dDbz3

Slides:
https://t.co/2BeaMzU1vd https://t.co/jmhPpxapdn
2022-01-18 TuneTA - using OHLC prices and volume and a target feature such as return, TuneTA optimizes the parameters of technical indicators using distance correlation to the target feature.

TunaTA supports
- Pandas TA
- TA-Lib
- FinTA

Python GirHub:
https://t.co/pY3cmMfA8r https://t.co/HkXK6PIl2t
2022-01-16 Simple colab notebook to display intraday (1 minute bar-based) stock volume profiles and TPO charts

https://t.co/R2k1qZRrVD https://t.co/NNUyAtoMKr
2022-01-16 Simple way to fit Gaussian probability density function to trading volume profiles #kde

https://t.co/WLDhDlkNTQ https://t.co/HG420bRufc
2022-01-16 Paper: ‘Simulating Multi-Asset Classes Prices Using Wasserstein Generative Adversarial Network: A Study of Stocks, Futures and Cryptocurrency’

https://t.co/d9CORkURhL

#syntheticdata https://t.co/8kTKfZLb8w
2022-01-16 Hmmm

https://t.co/N2EEoaTFvR
2022-01-16 Uber’s Bayesian time-series forecasting Python library Orbit has been improved with kernel time varying regression capabilities

https://t.co/EAbOkwFoKt https://t.co/7IqnPcxCcM
2022-01-16 Predicting trading volume is hard but is necessary in optimizing trading execution outcomes.

This paper researches integrating short and long term fluctuations and news events jointly into a temporal graph model:
https://t.co/zxG4OEwaM7

Python GitHub:
https://t.co/TWxbpWHo9R https://t.co/nuDFOi4xCC
2022-01-16 ML & DL with Python, PyTorch and SciKit #ebook

https://t.co/ixU3pkEcXm https://t.co/GHRix9nWcr
2022-01-16 Passive index investment using genetic algorithms to optimize with integer weights for bond portfolios - Amundi quant paper

https://t.co/CaSKywfwJM https://t.co/dbXWOHRmWU
2022-01-16 Math behind Uniswap liquidity - paper

https://t.co/kBCm9kH9PA

#crypto
2022-01-16 Crypto - Intraday price clustering - paper

https://t.co/Z5q6PGxrTr https://t.co/1qGHiSTt4s
2022-01-16 Prototype-based Crypto Clustering - Paper

https://t.co/VRPXmwvVh8 https://t.co/roxNqjF7nS
2022-01-16 Crypto Liquidity Connectedness - paper

https://t.co/IB1Stsmp7q https://t.co/clpJHBde6T
2022-01-15 Crypto, DeFi and DAO
2022 predictions | Forbes

https://t.co/v8lJMtjy9L
2022-01-15 Nonlinearity of equity and corporate bond payoffs / probability of default have profound implications on modeling trading dynamics and their frictions

#TCA paper

https://t.co/sRapGIO4a6 https://t.co/F2BIhhpeoL
2022-01-15 This paper explores the nexus between corporate social responsibility (CSR) and firms' stock market liquidity in India.

https://t.co/SDWKQlWySS

Discussion of research in liquidity estimators is also broadly useful.

#ESG paper
2022-01-15 Market impact estimation of cross-asset futures using Refinitiv Level 1 data, that builds on Almgren’s original TCA work in Equities - paper

https://t.co/ERqapFIWnI https://t.co/slEzA4h2pV
2022-01-14 TCA is becoming less about trading costs and more about engineering improved trade and investment performance in a world of news-fueled-shocks, meme-stocks and information spillovers from adjacent markets. Short video:

https://t.co/Sg17nfXtc0
2022-01-13 Forecasting intraday market returns using VIX as a feature in LSTM time-series and Random Forest models - paper

https://t.co/5LVHTz114R https://t.co/FZczZJpka3
2022-01-13 TIMECOP - micro-service for time-series using Gluon, Sklearn, Prophet and other libraries as the basis for prediction ‘engines’

Python GitHub:
https://t.co/QRDp2P6142 https://t.co/91fDE1dQr1
2022-01-11 Paper on empirical characteristics of Bitcoin volatility and entropy (as a Digital Commodity) vs S&P500 & Gold - paper.

https://t.co/30hzGiGvFY
2022-01-11 NFT Markets Microstructures / Cointegration perspectives
- paper

https://t.co/2NWyPge222 https://t.co/ONSsl6KB0Y
2022-01-10 Random Matrix Theory, PCA and Spectral comparisons between crypto and equity markets - paper

https://t.co/luxGRb5PdD https://t.co/Po3j9p1p2X
2022-01-09 Linear market impact models analyzed - #TCA Paper
https://t.co/T88vJgEInq
2022-01-09 SigPro is an end-to-end Python stack to efficiently apply multiple signal processing techniques to convert raw time series into feature time series for #ml prediction

https://t.co/fMmxwxrKNH
2022-01-09 Orion - an early stage Oython library for unsupervised time series anomaly detection.

https://t.co/tp6b5f4KpV https://t.co/tkP1CMhZ3W
2022-01-09 Sharpe - a unified Python library for back testing, applying machine learning in trading

https://t.co/SJsvqNv4En
2022-01-09 Foundations of Reinforcement Learning with Applications in Finance #ebook

https://t.co/Yn5T0OUgzp https://t.co/ISvnlpfPPy
2022-01-09 Heterogeneous graph knowledge enhanced stock market prediction - paper

https://t.co/ydSIibWVI4 https://t.co/04VTNEgN4y
2022-01-09 Simple PyTorch wrapper for deep learning - tzoo

https://t.co/XH1H24fbdN
2022-01-09 Predicting economic recessions - Python / Jupyter Notebooks:

Prediction:
https://t.co/NXruiPWwYR

Data / Feature extraction:
https://t.co/eC1MFbFEoG https://t.co/BPKSUapEc3
2022-01-09 Paper analyzes relative and aggregate economic inequality in Crypto

https://t.co/LOdxWVKI22
2022-01-09 Anomaly detection in time-series basics - Article with embedded Python code and Jupyter Notebook links

https://t.co/fBYEq6oiu3
2022-01-09 Herding behavior of Blockchain stocks - paper

https://t.co/sJw4tqu7jE https://t.co/9U0moOp6Q2
2022-01-09 Machine learning methods can capture the stylized facts of stock volatility without relying on any assumption about the distribution of returns. Paper.

Reassuring to see similar ranked feature importance regardless of #ml model used

https://t.co/VgvRekd0JU https://t.co/oSlPQeZX7G
2022-01-09 Some reflections on Web3 infrastructure
https://t.co/58SEGGN2dG
2022-01-09 Keras, Python and HiPlot to visualize Hyperparameter explorations

https://t.co/JmMRPJOH7S https://t.co/o49J9osrZ5
2022-01-09 Modeling and parametrizing a probability distribution with a neural network using PyTorch

Article:
https://t.co/0yF9TIAeBj

Python GitHub:
https://t.co/cJXhdtJ4Jp
2022-01-09 Software with lower chromatic complexity are easier to read and maintain (and probably have fewer bugs).

This Python library measures cyclomatic complexity

https://t.co/CPYYskmWA9
2022-01-09 Rotki - a python based crypto portfolio, tax accounting package that respects privacy

https://t.co/yCfbyWl9Nv
2022-01-09 Returns, realized volatility and investor attention dynamics in Bitcoin

https://t.co/0rygjSFijr https://t.co/FG2EVs93rk
2022-01-09 On the ‘Mementum’ of meme stocks - paper

Cointegration, momentum, synchronicity of signal…

#alpha

https://t.co/z9PE8E9BDw https://t.co/UdJjLaCPR7
2022-01-09 Aesara, a Python library to define, optimize, and efficiently evaluate mathematical expressions involving multi-dimensional arrays.

https://t.co/ZwbBR0wixy
2022-01-08 Regime factor modeling paper

https://t.co/SWrrIc7i3A https://t.co/657QON2TAu
2022-01-08 Corporate Bond index liquidity risk and the link to returns

#liquiditybeta
#estimators

https://t.co/oMAQn87dgX https://t.co/R1QZBQr3Zf
2022-01-08 Market and Funding liquidity measures article by Ricardo Rebonato does not use transaction data

https://t.co/OHhw6chAwh https://t.co/Di4czWB1xM
2022-01-08 Percentage Price Inpact and other liquidity and liquidity cost estimators for Crypto Markets - paper

https://t.co/X5NQQGtacF https://t.co/IFF8GZHn08
2022-01-08 Effective spread and CMBL estimator proxies of liquidity costs for Bitcoin and the significance of yield - paper

https://t.co/pMOiMODitb https://t.co/bfWlGRZvx2
2022-01-08 Transfer Entropy, Volatility and Liquidity dynamics of Bitcoin and other Cryptos during the pandemic - paper

https://t.co/sHMqXT6wgl https://t.co/IfZYHjzVXd
2022-01-08 Wrapping cryptos for interoperability - paper

https://t.co/9LB55rwW2V https://t.co/mCCv0gQ7cm
2022-01-08 Crypto Liquidity Dynamics - #AMM Arbitrage Bounds and Transaction Costs - paper

https://t.co/wwPueaXXQ3 https://t.co/hNA2EaI9cw
2022-01-08 Liquidity Connectedness in Cryptocurrncies - paper

- increases during periods of high volatility
- adding least interconnected cryptos may provide some hedge value when BTC/ETH are trending downard

https://t.co/inW7VQ9vIN https://t.co/PdwtDwzhww
2022-01-06 Rise and fall of cryptokitties - network analysis and imputed probability of profit estimates

https://t.co/fHf9ZiBRXX
2022-01-06 Bitcoin price clustering - paper

https://t.co/Z5q6PGxrTr
2022-01-06 TunaTA - Distance correlation to help tune technical analysis parameters using Optuna

Python GitHub:
https://t.co/pY3cmMfA8r

#TA https://t.co/eRlTJMfajB
2022-01-06 And the link to the ebook content that was missing in the previous tweet

https://t.co/4fUcoiodAS

https://t.co/ihOTYvmEYn
2022-01-05 Bayesian Methods for Hackers #ebook Python

https://t.co/XZ0prsJOyD https://t.co/yrh1e65aaz
2022-01-05 Nixtlats - Deep Learning for Time Series Forecasting - implements M3 and M4 international forecast competition winning models:
ES-RNN, N-BEATS, N-BEATSx

Python GitHub:
https://t.co/epYOVXsLWD

Web site / documentation:
https://t.co/MiG1WfnrZD https://t.co/xg6nD6IIyP
2022-01-04 DrForest - Dimension reduction forests (DRFs) are a method for nonparametric regression that also quantifies local variable importance

#ml Paper:
https://t.co/2hqRg7pwYr

Python GitHub:
https://t.co/hVBoV7V6FA

Synthetic data Example - Jupyter notebook:
https://t.co/DxmLzEXYMF https://t.co/aC1KZ1YgyR
2022-01-03 Collection of DeFi derivatives businesses…
https://t.co/9hS0RFPl00
2022-01-02 ETNA Time-Series Library - 4Ps:

- Preprocessing
- Pipelines
- Plotting
- Prediction

Python GitHub:
https://t.co/wm4qZGFo50
2022-01-02 Dynamask - identify salient time-series model features visually

Paper:
https://t.co/PCJhc2EsZI

Python GitHub:
https://t.co/CM8bOB15Jg https://t.co/3jejJuTBHY
2022-01-02 Hidden Markov Models HMM - expectation maximization using HMM-learn, then Random Forest boosted

#timeseries #kalman #lstm

Python GitHub:
https://t.co/SwLoXgJ9yi
2022-01-02 Feature based Forecast Learning - FFORMA uses meta-learning to train a time-series ‘classifier’ to select/combine different forecast models. Improved since M4 competition.

Origins from paper by @robjhyndman
https://t.co/vsCiWuUvYW

R (#rstats) GitHub:
https://t.co/34H1yLgLFM https://t.co/F9MYsGzc2S
2022-01-01 Surprised and happy
@CuratiaLLC will be offering a new twitter building block product targeted to financial professionals will include my tweets as well as market microstructure maven @ltabb and AQR principal and quantitative luminary @CliffordAsness

https://t.co/5Ueul3khIn
2022-01-01 Ark Investment research report by @yassineARK and @kenoshaking re: on-chain data (and analytics)

#Bitcoin $BTC

https://t.co/5H37OkLTLD https://t.co/AUbdzJDet8
2022-01-01 Terality = Pandas serverless, cloud service not bounded by memory constraints

Article:
https://t.co/v9tClyhGJo

Site:
https://t.co/e6NAvet9rX

Demo notebook:
https://t.co/j7E8G7OYA6
2022-01-01 Symbolic knowledge extraction

Paper:
https://t.co/MSIYJH2r5n

Python GitHub:
https://t.co/BYgrm7oelA https://t.co/2nXY6RcGqF
2021-12-31 Front-running is illegal in international stock trading in most markets but not in NFT Crypto.

Article:
https://t.co/TTjOPuuPJY

Python GitHub Notebook - using graphs to detect front running behavior:
https://t.co/ZIREV9ovP9 https://t.co/pZJtzeIAOZ
2021-12-31 Bitcoin Realized Volatility Modeling in a Python Jupyter Notebook

https://t.co/u38O06rpUQ https://t.co/KbBHa6AEoo
2021-12-31 Financial Graph Attention - graph attention networks, to learn the latent interactions among stocks and sectors

Paper:
https://t.co/mIo75oRnIT

Python GitHub:
https://t.co/89TGjbrLJg https://t.co/ZHAuSq1Mxk
2021-12-31 RL Trading of Cryptos

Paper:
https://t.co/VdpeqLKd4I

Python GitHub:
https://t.co/JirAWPylwc https://t.co/PU9lPoZQA6
2021-12-31 Ostensibly, 64 Crypto Unicorns joined by a new crypto analytics unicorn in Dune Analytics

https://t.co/fnqEf3NfEv
2021-12-30 Introduction to Cultural Analytics & Python - dynamic, Jupyter based

#ebook:
https://t.co/ZZx0ICeqoP

Python GitHub:
https://t.co/sjosW1GLyA https://t.co/YKWGQPypaA
2021-12-30 Good insights around database scale-up buzz (eg Databricks, Snowflake) and buzz-kills (eg RethinkDB)

https://t.co/ccAXqpDfyb
2021-12-29 Running a Streamlit using Google Colab for cloud-compute should be easier than running a local-tunnel in Google Colab (eg should be a bit more like https://t.co/YsMIBGVCAN)

A Meta Prophet stock prediction example to illustrate the approach.

https://t.co/JmTfXUakpD
2021-12-28 Not surprising that a company called Meta, focused on Metaverses would be on the acquisition trail for synthetic data and images (AI.Reverie) and winning military mandates would be a key driver.

https://t.co/fkzQDyqSLI

https://t.co/3D85NWlDWS

GitHub:
https://t.co/Q2apD7Ia1Y
2021-12-28 VentureBeat’s Ode to Synthetic Data

https://t.co/ka522ScJk0
2021-12-28 Today’s desktop computing power is quadrillions of times faster and has much more RAM than original mainframes. This short article puts it in perspective.

https://t.co/HLzsiiLHn7
2021-12-27 DB:
https://t.co/zRXDTnasz5 (3 parts)

BNY Mellon:
https://t.co/Fk8zYlwFoz

HSBC:
https://t.co/ciXY6kjyBs

UBS:
https://t.co/s9KD8aoKDO::

SC:
https://t.co/ryjRV2rDtW
2021-12-27 Institutional Crypto research in 2021:

BAML:
https://t.co/VimFF7rNYA

https://t.co/chNs5R7mux

MS:
https://t.co/4PpldeUxEM

https://t.co/sLsoE3ouzQ

GS:
https://t.co/yik5DeJUgE

Citi GPS:
https://t.co/4EAKJsRx4D

JPM:
https://t.co/MLQ65IWom5

DB Wealth:
https://t.co/xOTYqY6XNO
2021-12-27 For a good intro to modern electronic corporate bond markets and liquidity dynamics, here are three papers:

On corporate bond liquidity dynamics;
https://t.co/H3mIF6g5u9

On corporate bond ATS:
https://t.co/dZuq3gbePD

On Fixed Income microstructure:
https://t.co/jbmwcR7hpS
2021-12-27 Unsystematic S2FX and S2F factors impact on Bitcoin valuation is formulaic according to the others of this paper

https://t.co/IHXj06q6c7 https://t.co/mqtWJXQoK2
2021-12-27 Intraday volume classification and analysis of cryptocurrencies - liquidity paper

https://t.co/Itm0Nht33v https://t.co/XTQWheFZuZ
2021-12-27 Mini-rocket time-series nearly determinsitic classification and regression

Python Colab:
https://t.co/rku8y3wLCg.

Paper:
https://t.co/XEPwnkbnJ8
2021-12-27 Brazil equity market microstructure - market maker rule variation with other major markets and market quality impact of nuanced differences

https://t.co/FpYwXPtRI2 https://t.co/R7lqAjcFrQ
2021-12-27 Fraidycat aggregates your echo chamber of micro-influencers, TikTok luminaries and other social mavens with open source JavaScript and periodic polling.

https://t.co/AGhmEpwusY https://t.co/YttWnkKqrr
2021-12-27 Perspectives on Crypto / Web 3 impact on long-term classical geopolitical dominance

https://t.co/EQrcfJfcVO
2021-12-27 Synthetic financial time-series data:

ydata-synthetic
#TimeGan

Python GitHub:
https://t.co/OvFfzFLGUw

Google Colab stock data generation example:
https://t.co/kKm8SNvzhi https://t.co/rAOLe5d4Vx
2021-12-27 Microstrategy investor day and their reflections on their treasury digital asset strategy

https://t.co/jZq8nL1W5v https://t.co/9XdU29EXSU
2021-12-27 European AI Adoption Benchmarks & Hurdles - report

https://t.co/eB3is09kRe https://t.co/3V9QcmZMRT
2021-12-27 European Deep Tech Startup report

https://t.co/ogrSe7ssuI https://t.co/fQAkdZoyC2
2021-12-26 A qualitative analysis of Systematic Internalizer impact on modern European equity markets - market microstructure paper

https://t.co/PKDQx9o8Io
2021-12-26 TheBlock
Digital Asset Report:
Market Map Ecosystems and 2022 Outlook

https://t.co/4eZMM8KLmm https://t.co/1ZZm00U7jS
2021-12-26 CEPChain - Complex event processing integrated with off- and on-Blockchain along with their Smart Contracts - paper

https://t.co/oSk351yHbK https://t.co/xbxZL9uGu0
2021-12-25 Sample Convolution Interaction Network SCINet - applied to financial and crypto time-series prediction using TensorFlow

Paper:
https://t.co/T1OWpHrNLQ

Python GitHub:
https://t.co/zI8o3InsXT
2021-12-25 Python Cheat Sheet

https://t.co/dfuUKvk1NW https://t.co/IzEAFUIjLw
2021-12-25 Good easy read on transformers, sets vs sequence methods, and attention in NLP data science
https://t.co/dQEJto7glx https://t.co/cHMaFRwRm9
2021-12-24 Attack oriented intuition for advanced Cyptography without mathematical formalism.

Paper:
https://t.co/ZAUHUIgJVT https://t.co/VHdVwCZZvy
2021-12-23 FinTech, BigTech & Big Banks - competitive dynamics - paper

https://t.co/UvtYxX3Qmz https://t.co/mZAtcR9T3F
2021-12-22 In other news…

Glupteba grafts to the Bitcoin Blockchain immutably and surreptitiously
https://t.co/tHI5nAVEKA

#cybersecurity
2021-12-22 Gloomy, almost dystopian perspectives on the ‘dirty’ Crypto industry and synthetic trust

#ESG #Trust #DeFi
https://t.co/C6nXRqRf8I
2021-12-22 Code bloat and other perspectives on DNA from a somewhat cheeky and narrow mind of a coder…

https://t.co/QkorKm2cvV https://t.co/57hLJQo52Z
2021-12-22 Dabblers in streaming realtime machine learning have a new tool. Incremental learning, concept drift handling,

#scikit-multiflow
#ml

Python GitHub:
https://t.co/IHCvhi9UMC

Paper:
https://t.co/w6dKPTMUrx https://t.co/z12Rr4avOL
2021-12-22 Bitcoin mining in China - 109k addresses and perspectives on realized impact of government intervention
https://t.co/ni4kDoTkZ7
2021-12-22 @zerohedge collection of Twitter and Bank Research perspectives on Web3 and the Metaverse
https://t.co/XJc9tLJ9Jt https://t.co/IhlxIA1HLz
2021-12-22 NBER paper analyzes the transaction behavior as well as network and other ownership patterns of Bitcoin.

Concludes Bitcoin is far from decentralized with skew concentration in miners, holders, defi exchanges and systemic risk.

https://t.co/WwLmb3TZaF https://t.co/swxtG8Oeiw
2021-12-22 TheBlock research on Digital Assets 2021: Market Landscapes, Custody, M&A, Flows…

https://t.co/4eZMM8KLmm https://t.co/MC0BRiDVOT
2021-12-22 DeFi, NFTs

https://t.co/qTV2OTeO9h https://t.co/HSxQvdnlHf
2021-12-22 Coinbase perspectives on the Metaverse

https://t.co/wfR30ZYIuK https://t.co/KlSZVsPlyw
2021-12-21 SVB FinTech Deck

https://t.co/uQt3qJ3lsk https://t.co/yelOtFbeH1
2021-12-19 PyTorch Time-Series Transformers with Attention
https://t.co/3Wn7HhaEiN

Python GitHub:
https://t.co/FUGwwp0bE4 https://t.co/zGWWFC7Yka
2021-12-19 Synthetic factor-based structural time-series generation

Python GitHub:
https://t.co/lbTF1HrE2i https://t.co/MxMotd2uQj
2021-12-19 Sklearn evolutionary / genetic algorithms for hyperparameter tuning

https://t.co/OcLIy0cw4a https://t.co/JL3lojg2E1
2021-12-19 Curated DeFi Links
https://t.co/evk9m78EUS
2021-12-19 TensorFlow LSTM Deep Learning, Change-point detection and #TSMOM time series momentum trading strategies with fast reversion

Paper:
https://t.co/uwbqmHFmoI

Python GitHub:
https://t.co/WUcS6scnOy https://t.co/yqfJq3VOpz
2021-12-19 Simple OpenSea NFT Explorer App

Built in Python & Streamlit
https://t.co/0zBqxvCFTD https://t.co/LvJr1gdLW6
2021-12-19 Many simple methods to estimate volatility including:
•Garman Klass
•Hodges Tompkins
•Parkinson
•Rogers Satchell
•Yang Zhang
•Standard Deviation

Estimated with Python Code:
https://t.co/M2ck0l6h6c https://t.co/9BfC7inAkQ
2021-12-19 Random forests and LSTM networks (more precisely CuDNNLSTM) used to analyze effectiveness in forecasting intraday directional movements of constituent stocks of the S&P 500.

Paper:
https://t.co/PAQdDSSTCR

TensorFlow, Python GitHub:
https://t.co/rLc4Evasj7 https://t.co/zMPJpOiWI2
2021-12-18 Saturdays mornings used to be dominated by Bert & Ernie, now they are by self-supervised BERT translation of natural language to SQL #NL2SQL

Two sets of Papers/Python:

#1
https://t.co/HUOKyXCN5Q
https://t.co/NvNRhkgsjz

#2
https://t.co/tHlrrV17D0
https://t.co/zSoYhAaHaA
2021-12-18 User experience can be transformed when natural language is translated to useful visualizations #NL2VIS using Python

https://t.co/lM0m57cswF

uses a visual grammar that flattens Vega-Lite to a sequence for ease in supporting #NLP

https://t.co/xzbZpSPlOx
https://t.co/jbFEEFNWpS https://t.co/fGAZojjEsG
2021-12-18 Markets and empirical science measurements need Nanosecond resolution

@eddelbuettel R #rstats nanotime handler:

https://t.co/zOX86pY727

Since Python 3.7 the time.time_ns() function returns nanoseconds as an integer since the epoch (but accuracy depends on OS & hardware)
2021-12-18 Interpretable Neural Networks With PyTorch:

feedforward neural networks that are interpretable by construction using Python and PyTorch

https://t.co/Gzd3vNTlIk https://t.co/gXVFhFzu09
2021-12-16 Seven Layers of Meta …
on the Metaverse

https://t.co/xgErfYSH95 https://t.co/PlMk1r6tY7
2021-12-16 FinTech 2021 IPO Retrospective…
https://t.co/MlbUKuQL5j
2021-12-15 PyTorch vs Tensorflow usage, Huggingface deployments and other metrics…
https://t.co/afKDmCb3AY https://t.co/Xo9uNQdZTS
2021-12-15 Wavelet transforms + multivariate adaptive regression splines for financial time-series prediction

Python GitHub:
https://t.co/fRoTd1fDfY

Paper for inspiration:
https://t.co/J0q95kkssr
2021-12-15 Interpretable Deep Learning for Multi-horizon Time-Series Forecasting - Google #Ai Blog

https://t.co/ITX9OAEQ9V https://t.co/rwMSiMaeld
2021-12-15 Limit order book events #lob - (Binance crypto exchange) visualized as heatmaps

https://t.co/40NH9S3okt

Online:
https://t.co/uQR7HnO1eM
2021-12-15 log4j-scan

A new open-source Python tool to scan for vulnerabilities

https://t.co/ZyShHJRJ17 https://t.co/5U2nHbQwvg
2021-12-15 Python snippet for high-low bid-ask spread estimator

https://t.co/VSfAjN2PsV https://t.co/EmVv8gFuAO
2021-12-15 Bayesian method to model Bitcoin users

https://t.co/nC3qH9rLz9 https://t.co/fvI7AzoucL
2021-12-15 Bitcoin liquidity paper - Glosten structural model applied

https://t.co/9tEkDRzDkM https://t.co/2lwGDqRyon
2021-12-15 Crypto Liquidity Estimators - paper

https://t.co/X5NQQGtacF https://t.co/QO5mLJ96b2
2021-12-15 Customizing GPT-3 https://t.co/h5W1uDJv18
2021-12-14 Propagator vs stationary Kyle-based linear market impact models compared in this #TCA paper

https://t.co/8Ola7Xmm17 https://t.co/EQnMf9Uh68
2021-12-14 Bayesian Active Learning - BaaL library in Python
https://t.co/pqb8iE0N3b
2021-12-13 Article highlights some of the recent and notable events in the convergence of TradFi with DeFi in Capital Markets - e.g. 1st Reg A+ deals, Digital Art Tokenization…

https://t.co/mAWFc21ICl
2021-12-13 https://t.co/OSJgcMHZbh #ebook
Interactive Deep Learning open source ebook using Jupyter notebooks and Python

https://t.co/oHE1joIStb https://t.co/gZoc3H81Kk
2021-12-12 Intraday cross-sectional risk factor variation changes: FAMA + Momentum on S&P500

https://t.co/ysydb8hh2S https://t.co/FikdHkQIk9
2021-12-11 Generalized (stationary by log transformation) Order Flow Imbalance and the link to market impact on stocks in the CSI500

#TCA Paper

https://t.co/iB4siNj7OG https://t.co/LLdM0k8bAC
2021-12-10 NeuralProphet - comparison vs Prophet (functional flexibility differences discussed in this article)

https://t.co/0INtCeGdZg
2021-12-10 Graph Neural Nets - a to z.

#GNN

https://t.co/jdVGG2ZW0w https://t.co/OMaGysROhf
2021-12-08 Modeling FX Alpha and Market Impact #TCA - paper https://t.co/KRQIZfksYJ
2021-12-08 Metrics for valuing Bitcoin and other Layer 1,2 and 3 digital assets…

#ARK

https://t.co/uKsSaCZMgM
2021-12-08 Continuous Latent Process Flows (CLPF), a generative model of continuous dynamics enables inference on arbitrary real time grids, a complex operation with piecewise variational approximation.

Paper:
https://t.co/Pcm4Gw0ptR

Python GitHub:
https://t.co/8TVPy1OY0J https://t.co/RDm1a5MOzQ
2021-12-08 Deep learning LSTM model applied to FX rate predictions - paper

https://t.co/GhweI8mRKX https://t.co/YDOxQZzlBV
2021-12-07 Systematic quant bond (credit) trading powered by algorithmic and electronic execution is on the time | in FT

https://t.co/C1NLiEaGGV https://t.co/3xojqFUMeB
2021-12-06 Differential #ML Regression Jupyter Notebook

Python GitHub and Colab:
https://t.co/Qeu0gZh7c1
2021-12-06 Differential #ML PCA

Python GitHub and Colab:
https://t.co/HrIZ6eJnsv
2021-12-06 Differential #ml applied to financial derivatives:

Bermudan5F.ipynb applies differential regression and PCA to the determination of risk factors and continuation values of Bermudan options

#Jupyter Colab Notebook:

https://t.co/FbF06xiVfD
2021-12-04 In addition to tsts and torchts there is now Pytorch Forecasting for time-series prediction

https://t.co/21sp1DJNop

TSTS https://t.co/21sp1DJNop
2021-12-04 Pycaret has improved its automl capabilities with a new time-series module…

https://t.co/wAjromjKku
2021-12-04 tsAI deep learning time-setisa library is inspired from recent Kaggle time series competitions…

https://t.co/zI2O5RL6F5
2021-12-04 “algorithmic regulation needs to look much more algorithmic itself”

and other AI tidbits from NeurIPS
https://t.co/och5nF9Yug
2021-12-04 Web3 for the uninitiated
https://t.co/S9PYNfoTI6
2021-12-04 Lisa Xu’s collection of perspectives on DAOs driving NFT/Web3 ecosystems
https://t.co/vKi5nPMOn3
2021-12-04 Article and code for using Google Trends data to improve stock and crypto trading outcomes

Article: https://t.co/a3yCw9J46u

Python GitHub:
https://t.co/boOySZoOGQ
2021-12-04 And Synthetic Time Series Data generation using NeuralProphet

https://t.co/pB4WK8uyIy https://t.co/j4ir61r081
2021-12-03 Asymmetric transaction costs for bonds in times of stress is the basis for this new bond liquidity risk model - #TCA #Liquidity paper

https://t.co/jq8uSY9jJD https://t.co/3Q9KsP70n2
2021-12-02 Our Robotic Overlords are nearly ready

https://t.co/N5XNns9tnp
2021-12-02 State of the art in deep graph neural networks - article

https://t.co/e7y2GNoYOT
2021-12-02 “…machine learning can aid mathematicians in discovering new conjectures and theorems.”

#AI #Math #Paper
https://t.co/8QGpkcA29S
2021-12-02 Bitwise report on DeFi projects growth to $15T

https://t.co/6SzDstNRsI https://t.co/NYO97EdVXS
2021-12-02 PyTorch Forecasting for TimeSeries using deep learning and Pandas dataframes directly

https://t.co/QGkpNUzGVH

Python GitHub:
https://t.co/21sp1DJNop

Documentation:
https://t.co/4RRiPpRzYc https://t.co/soPbysHbdB
2021-12-01 Long-term bond yield modeling using LSTM-LAGLASSO

Paper/slides:
https://t.co/aEit5IPKl1 https://t.co/CusF3FolAq
2021-12-01 Meta’s Neural Prophet - a neural twist on Prophet for time-series

Site:
https://t.co/oTPGbdyH2n

Python GitHub:
https://t.co/TTpQdeOFNT

Article:
https://t.co/pGpYmbAtxu

Video:
https://t.co/ExrZM6BQSP

Comparison with ARIMA:
https://t.co/jQzcjYzbJn
2021-12-01 Graphs are great. Encoding them using an optimizer to reduce complexity often makes them more accurate, efficient and useful in classification and prediction activities.

Opt: Minimize structural entropy

Paper:
https://t.co/qD7mYfCdTd

Python GitHub:
https://t.co/UbbtuFeHdo
2021-12-01 The importance of collective information from graph embedding in financial time series deep-learning prediction

Paper: https://t.co/lX9BJ7MJBK

Python GitHub:
https://t.co/04oI26qdDw https://t.co/Ba7ef4Mgl4
2021-12-01 Nature research on #NFTs

Paper: https://t.co/xeLdXICnIw

#Dataviz feature extraction:
https://t.co/uQApPKyNY0

To feed model:
“1) visual characteristics,
2) previous sales of related NFTs, and
3) the popularity of the buyers and sellers” https://t.co/LzFjySMvJe
2021-12-01 WYSIWYG layouts for Jupyter ipywidgets: ipyflex is based on react flex layout library and as you probably expect, supports panels and tabs in layouts

Python GitHub:
https://t.co/dfJSdhYl48
2021-12-01 Intraday price direction prediction efficiency of constituent stocks - LSTM vs Random Forest

Paper:
https://t.co/b2m4Hit6e6

Python GitHub:
https://t.co/rLc4Evasj7 https://t.co/7DjwIytevU
2021-11-30 Web3 NFT Community startups are emerging…

https://t.co/Ih2GVwDTSW
2021-11-30 Sequencing meme stocks as Markov Chains for prediction - article

https://t.co/JF9GrSeOTt https://t.co/3rdviCxFqR
2021-11-29 Deep learning paper compilation of methods and features (aka variables) in fx and stock price / return prediction - paper

https://t.co/1ZJagv64an https://t.co/e0Uqkg1SGJ
2021-11-29 Binary/Ternary Asset Price Direction Classifier - paper

https://t.co/8j8Er0Fjey

Volume at price and tick trade aggressiveness in four cohorts of features https://t.co/nEtkALdINg
2021-11-28 Deep Learning for Time-Series - in three parts:

https://t.co/hcV8mYOSv0

https://t.co/HbOMRcNSaI
https://t.co/vd2j6wQQEy
2021-11-27 For forecasting right-skewed time-series, sometimes a Tweedie will do…

https://t.co/s0JRaZwxwq
2021-11-27 Short Iron Condors, back testing, expired RICs and nice bits of Python financial options and RDP code to explore…

https://t.co/kWi6Wm4R6g
2021-11-27 Crypto design perspectives…

https://t.co/Kq4zPQJEA6
2021-11-26 FT: “In crypto, most exchanges provide not only matching services but also custody, clearing and settlement to name a few…That means that, in reality, they look more like a broker since a client is effectively facing off against the exchange.” https://t.co/VKXTWFkgMv
2021-11-26 Grayscale report quantifies the Metaverse as a $1.4 Trillion market - good weekend read

https://t.co/IcXXql5OM0 https://t.co/wy6AIR77Ge
2021-11-26 The ‘Tesla-financial complex’ | in FT

“We don’t really have the language to describe Tesla any more,” says Michael Green, chief strategist at Simplify Asset Management. “It’s like explaining to a person in a two-dimensional world the concept of ‘up’.”
https://t.co/3NZ9Anz8Fw
2021-11-25 Mckinsey on the impact of Advanced Analytics on Strategy

https://t.co/DxOAPP0Sni
2021-11-24 Optuna and Hyperparameter Optimization

https://t.co/sjklwdaSNu
2021-11-23 DataPrivacy is only one arc in the tech shift to Confidential Computing

https://t.co/iRiJEPLlig https://t.co/gymVTdI3Lw
2021-11-23 Quantification of scoring and predictability of win-outcomes across professional sports - paper

https://t.co/AWBvcTQkXr https://t.co/kKtmho0hvK
2021-11-21 Predicting Tokyo Stock Volume

Paper:
“Long-term, Short-term and Sudden Event: Trading Volume Movement Prediction
with Graph-based Multi-view Modeling” with OHLC hourly time-series and news feature extraction
https://t.co/JDDy2hiPXY

Python GitHub:
https://t.co/TWxbpWHo9R https://t.co/NJJviEDR94
2021-11-21 Paper: Structural break-aware pairs trading strategy using deep reinforcement learning

And Wavelets and Scalograms applied to stocks in Taiwan

https://t.co/2RjcU7EfAM https://t.co/I7rvy9xAy7
2021-11-21 ASX stock liquidity modeled with microblogging activity and cost based market liquidity (spreads: CMBL) #twitter #tca

https://t.co/XUvyZWGUWu https://t.co/hqq5671z1A
2021-11-21 A semi-parametric model for fx futures volume forecasts (2029 paper)

https://t.co/voXtDuRdCu
2021-11-21 Are Facebook and Google funding misinformation / disinformation? MIT Technology Review
https://t.co/IyOwiWGLLb
2021-11-20 On Graph Neural Nets, Topology and Differential Geometry

https://t.co/B9g7N0BMZd
2021-11-20 Market impact with restrictions on stocks, heterogenous trader beliefs modeled in as an iterative equilibrium Kyle framework way - #TCA paper

https://t.co/Jf8AlKP0A9
2021-11-19 Sequoia thought piece on data privacy and surge in consumer interest in tools and crypto-tech opportunities
https://t.co/9zK8XpIwta
2021-11-18 AlphaEvolve paper highlights the potential for AutoML tools to be used to generate stock Alpha systematically using evolutionary algorithms (analogous to formulaic alpha)

https://t.co/Z1XuuzJjMt https://t.co/KRJWXZugfZ
2021-11-17 Recent Kaggle Time Series prediction competitions reveal a notable pivot away from boosted decision trees to neural nets

“The field of time series follows the path of computer vision and NLP, where neural networks dominate the landscape."

#TSAI
https://t.co/x18MqtX27H
2021-11-17 Paper on the relationship between futures limit order depth to spread

https://t.co/9VI3BorymI https://t.co/3xjAsOUZ7n
2021-11-17 Market Fragmentation in US equity markets and routing decision frameworks are examined in this new #TCA paper

https://t.co/kANA1YEwIg https://t.co/TbIVFydmyH
2021-11-17 A bid-ask spread estimator: EDGE - Efficient Discrete Generalized Estimator culled from OHLC data that maintains market microstructure stylized facts with tick data - paper

https://t.co/OiqvcXolEm https://t.co/HDwhjvcqEf
2021-11-16 Much ado about Twitter new API, event processing architecture and a raft of different commercial drivers

https://t.co/iUp5RxCPtx

https://t.co/D9pUSif1U2

https://t.co/LnpHU3AcjO
2021-11-16 Where do data science practitioners want automation in their MLOps, AutoML and Pipelines?

Paper:
https://t.co/0n1uDrlhdf https://t.co/mVUBY1eKSx
2021-11-15 Microsoft Azure AutoML

SDK:
https://t.co/8SKj4H30x1

Article:
https://t.co/CM6AvtZVR2

Research:
https://t.co/JqJ3feyait

Jupyter Configuration:
https://t.co/VlApSnT0ti

AutoML on Azure:
https://t.co/hBdaw4V51R https://t.co/lGsY92kETw
2021-11-15 Optimal flow trading near NASDAQ close #TCA

(2018) Paper
https://t.co/xZ9YZYiOgP

Python Jupyter Notebook:
https://t.co/AeLugZstxR https://t.co/mwvGNnbhWh
2021-11-15 #TCA Paper (2020) - optimal execution in presence of linear, temporary market impact
https://t.co/aDq23CN6Uo

Jupyter Python Code:
https://t.co/2cHnRTsdWD https://t.co/rGgJVJskBg
2021-11-14 Hawkes and other time-series methods for momentum and other pattern identification and labeling

https://t.co/ptSNIagXa1
2021-11-14 Streamlit wrapper for prophet timeseries prediction

Python GitHub:
https://t.co/itXAd5Vh0w https://t.co/6Xb2wOi0mZ
2021-11-14 Micro-services Meta-Transformation Nirvana

https://t.co/mUwBmmv2qD https://t.co/IODZAXSLAd
2021-11-14 Simple Crypto Bots driven by Technical Analysis #TA rule automation and PyJuque library

Python Jupyter Notebook GitHub;
https://t.co/JLtQpX9nHD

Article:
https://t.co/ZufZ80NFIa

PyJuque Crypto #lob Strategy Automation:
https://t.co/S4AcYl8kwc
2021-11-14 @a16z opines on Payment for Order Flow #PFOF Market
Microstructure debate

https://t.co/TPpeeogViu https://t.co/u1GF2azaha
2021-11-14 @a16z opines on Payment for Order Flow #PFOF Market
Microstructure debate

https://t.co/TPpeeogViu https://t.co/zdtrmtTEml
2021-11-14 Sometimes a Time Series Spline is all you need

Bayesian Adaptive Spline:
https://t.co/7vAjwtafPR

MARSpline:
https://t.co/ho5QMQRRwS

MARSpline adapted to intraday stock prediction:
https://t.co/zVl3OgnFm5

Optimized Paper
https://t.co/scG0dJ94Pg

Code:
https://t.co/If4Jfo0Uav
2021-11-14 WIRED on #AR and the Metaverse…

https://t.co/8WpO51xAB3
2021-11-14 #HBR on #NFT Value Creation

https://t.co/qju7eCqLrE
2021-11-14 Deep Learning Statistical Arbitrage paper

https://t.co/jdWtdQ5s9m https://t.co/J9FOfWy9YF
2021-11-13 Stanford Brief on #AI in Financial Services
#StanfordHAI with many links to research

https://t.co/ECnU20iXHV https://t.co/DDvicuUiMW
2021-11-13 MetaFlow, an open-source AWS based tool for Python and now R data scientists to manage their workflows.

https://t.co/oRYEeEYdVP

Along with a UI service
https://t.co/vez5p0tVw9

#rstats https://t.co/Gyt5iB9hkW
2021-11-12 SearX - Hackable meta-search engine - marketed to data privacy seekers

Python GitHub:
https://t.co/dyDi6SMZoF

Running instances:
https://t.co/hHmId0gkSm

Homepage:
https://t.co/Y5oSoBAgq4

Architecture:
https://t.co/ikZvLNSV6B https://t.co/f6lTxU9IvD
2021-11-12 Good short and dense intro to time-series analytics and methods (without heavy maths)

https://t.co/ltlbPlryPi
2021-11-11 Versat, Covid-washing and impact on Data privacy
https://t.co/cJ3weMAdMv
2021-11-11 Zuckenberg’s pivot to the Metaverse is… “banal…"
https://t.co/1ApTMU7VuF
2021-11-09 Dynamic mode decomposition (DMD) is a data-driven dimensionality reduction algorithm like #PCA
https://t.co/4wKkgnAnTm
2021-11-08 Momentum and gradient descent from convex to stochastic…
https://t.co/DtrKlafkqo https://t.co/iuNPHp5XDW
2021-11-06 Metaverses meet the Sports DataVerse…

https://t.co/A33AzM13CA https://t.co/UoMMhAyFC8
2021-11-06 Differential Machine Learning (Regression) for supervised principal component analysis to reduce the dimensionality of financial derivatives for valuation

Googler Colab Notebook:
https://t.co/P0OOljfdVO

YouTube video
https://t.co/RoVMzfzOKm
2021-11-06 Carbon Risk Management (CARIMA) model with FAMA Factor and ESG handling with Brown Minus Green (BMG) support

OpenTaps is a mixed R #rstats and Python
Open Source Project:
https://t.co/L3FlnRcQOZ
2021-11-06 Time-Series Grid embeddings and #NN classifications

Python GitHub:
https://t.co/GBSBB85Ye8 https://t.co/6nVtUnn4mq
2021-11-06 Topological Analysis of Time Series using Giotto-TDA

Python GitHub:
https://t.co/vKWtsL7kDi

Paper:
https://t.co/vzg2cpQNjj

Giotto Time Series library
https://t.co/kKuWTxnWo5

Detecting stock market crashes article:
https://t.co/K9EFXMqUde

& Code:
https://t.co/vDTfAwiL1h
2021-11-06 More Candlestick NN time-series to image encoding…

https://t.co/bXD3cbth4p
2021-11-06 Time-Series TS Classification using fusion features (TSC-FF) of sequence features extracted from raw TS and visualization features extracted from Area Graphs converted from TS. 

Paper:
https://t.co/v7VSXc5nUP

Python GitHub:
https://t.co/7zclg43vag https://t.co/D8mqHskZZb
2021-11-06 Markov Transition Fields (MTF) time-series to image transformation

Article:
https://t.co/BfxHUwuBur

Jupyter Python Notebook:
https://t.co/HpbvSy8r0r
2021-11-06 This paper with code shows how to convert ECG time-series data into three images using Gramian Angular Field (GAF), Recurrence Plot (RP) and Markov Transition Field (MTF) for classification and prediction

Python GitHub:
https://t.co/RApxGLIh3G

Paper:
https://t.co/d2yhJHci12
2021-11-06 Gramian Angular Fields (GAF) are images representing a time-series in a non-Cartesian coordinate system.

Article + code example on tick data:
https://t.co/4dUFQNJcir

https://t.co/y9hAc82MDW

More Python GitHub examples:
https://t.co/FDvmNMxfvJ

https://t.co/PieuzZqwrf https://t.co/MlbV9NPlXG
2021-11-06 Encoding OHLC information as 103 types of Candlestick Images for Pattern Classification in stock price prediction

Paper:
https://t.co/GAkMSuZGQ1

Python GitHub:
https://t.co/pP1mtPJIxX https://t.co/BEJlykX7fp
2021-11-05 AutoML for Tabular Data

XGBoost + Optuna:

Python GitHub:
https://t.co/KJMTO36EBz https://t.co/9eCtF3tZe5
2021-11-05 Multivariate time-series prediction using Long-Range Transformers that learn interactions between space, time, and value information jointly.

Paper:
https://t.co/5nR5v5LW52

Article:
https://t.co/ppHbtTPHDb

Python GitHub:
https://t.co/5nR5v5LW52

Docs:
https://t.co/5nR5v5LW52 https://t.co/2veO8uXe7G
2021-11-05 Convexity and Volatility in derivatives - simple primer
https://t.co/Tu3GUc6v8K
2021-11-04 #ETH #DeFi ecosystem market map
https://t.co/neSki3hiLx
2021-11-04 #DeFi Primer - June post but still relevant for the uninitiated
https://t.co/ueNDs2eBv8 https://t.co/WbfgboIOdH
2021-11-04 Presentation on predicting terror attacks by following Bitcoin transaction breadcrumbs and using metrics like cumulative abnormal volume and graph analysis

https://t.co/2IpcoRHcbZ https://t.co/4amwNRva9n
2021-11-04 NBER paper on Bitcoin trading on non-regulated decentralized exchanges - eg volume commonality

https://t.co/1WJpdsp0DC https://t.co/D5oI34QZn7
2021-11-04 Asset Tokenization Platforms Market Map #Crypto

https://t.co/PVkcE7A1Yy https://t.co/NTJXgBBZkq
2021-11-03 HMM for classifying stock markets https://t.co/UfTwsDXZAl

And related post on forecasting volatility https://t.co/D2ZFAF2g1g

Adapting the approach for Bitcoin https://t.co/sSDoQ65Dck
2021-11-03 A very visual primer for SHAP machine learning expandability
https://t.co/9UhBrUAAKE
2021-11-03 Microsoft’s Metaverse Meanderings in TEAMS
https://t.co/r94o8dfhF8
2021-10-31 Open-source, AWS / Colab based time-series pipeline and forecasting tool - benchmarked vs M5

Article:
https://t.co/pPMZvqhZrL

Python GitHub:
https://t.co/vx51WSq0oo

#Colab Notebook:
https://t.co/38JqWR8vXl
2021-10-31 Reddit raises funding from Fidelity at $10B valuation and takes a decidedly crypto route with community engagement

https://t.co/WR5vkvl1ba
2021-10-31 Optimal trading using a Linear Quadratic Regulator (LQR) framework that includes a price mean-reversion signal into the optimization program with linear market impact and quadratic staging - #algo trading paper

https://t.co/Oa1J9GCAbu https://t.co/BgfrtEShSM
2021-10-31 Geometrically optimal trading in the presence of transaction costs (and discontinous zones) - #TCA paper

https://t.co/F1Xsuy0dJn https://t.co/MMwnHUWezO
2021-10-31 Deeptime for time-series includes deep kernel, learning & model classes for dimension reduction, clustering, covariance and Markov model estimation & follows Scikit semantics.

Python GitHub:
https://t.co/SlqkO539ai

Paper:
https://t.co/V8qr1DgOxb

Site:
https://t.co/1eC6UwrdkL
2021-10-31 A menagerie of metaphorical reasons for composable models in AI in @gradientpub
https://t.co/Me4uvXRun6
2021-10-30 ARK Invest perspectives on Bitcoin

on-chain valuation metrics:
https://t.co/uKsSaCZMgM

myths:
https://t.co/TUp73nE0Ol https://t.co/U3Lh8EtI1H
2021-10-29 NFT Markets…
https://t.co/3JRtXTO1mP
2021-10-28 Open Source and key shifts in Financial Services - #a16z
https://t.co/C2Uml4ENR4
2021-10-28 Short paper on trends in machine and deep learning in traditional finance and capital markets

https://t.co/lcc0YAaAPt
2021-10-28 Forecastframe

Python Pandas based class library for feature engineering and model interpretability and integrates with external forecasting libraries including Prophet

https://t.co/4QpUoedJYK
2021-10-28 Roughness in Volatility
#Hurst
https://t.co/JzmSwgYlfZ
2021-10-28 Machine learning as a “quantifier reversal”
https://t.co/bAagxZwRpM
2021-10-28 ANEA is a tool to automatically annotate named entities in unlabeled text based on entity lists for the use as distant supervision.

#NLP #Spacy

Paper:
https://t.co/ARZnWyEt2Q

Python GitHub:
https://t.co/IiTFU0dHSB https://t.co/8QILbcsmAj
2021-10-28 interactive data comic using proprietary drawing tools and a scripting language

#DSL #DataViz
https://t.co/FMFtLqqvXc https://t.co/BDzI9BlaUu
2021-10-28 DeFi Maladex protocol for quantitative trading / market-making and token economies

#Cardano #DEX #AMM

https://t.co/FYp9nro41H https://t.co/5j23gH41KC
2021-10-28 A substack on DAOs

https://t.co/9IeJiA6hnl
2021-10-28 Excellent article on #DAO legal and tax considerations
https://t.co/FespWZELMI
2021-10-28 Metaverse Meanderings…
https://t.co/JFfhW4zdVC
2021-10-26 Paper models various #crypto returns as a function of Google Trends and density of relevant posts across social media - e.g. Reddit, Twitter

https://t.co/JjfPgRUWC1 https://t.co/vS9VNLsiLd
2021-10-26 Sequoia Capital is reimagining the VC model to align investor preferences and invested company interests
https://t.co/4yge43ElkU
2021-10-25 Time-Series Transformers

Paper:
https://t.co/IS0DTI9Pgu

Python GitHub:
https://t.co/cH2A4E1SNE

Alternative implementation:
https://t.co/GpHWD049X3
2021-10-25 Private languages that map forgetables to visuals and heightened memorization…
https://t.co/ljRwKZVN9f
2021-10-23 We have open roles for our Analytics Product team in Gdynia, Poland

#datascience
#Python
#Finance
https://t.co/4ukNFUnH3R
2021-10-23 Generalized Outlier / Anomaly Detection Taxonomy, Paper | Python Source:

Outlier detection (OD), anomaly detection (AD), novelty detection (ND), open set recognition (OSR), and out-of-distribution (OOD) detection

Paper:
https://t.co/KuQL07XXbY

GitHub:
https://t.co/eU2MSGMCGx https://t.co/IYjMz6Yk5v
2021-10-22 Underlying Asset Kernels - Neutral Density (RND) using Rookley’s Method, and Historical Density (HD) using GARCH Method and BSplines

Python GitHub:
https://t.co/lM4PBNr1Oi https://t.co/i1Y057ey8c
2021-10-22 Stock synchronization index given by the transcript #stock entropy of pairs of stocks - paper

https://t.co/O1YrCobUIZ https://t.co/GK9CX6ypQd
2021-10-21 AI, Umps and Strike Zones #MLB
https://t.co/XIDBy8OQKg
2021-10-20 Stock price prediction using Generalized Compound Hawkes Process based model on limit order books #lob - paper

https://t.co/sOprph1qXe https://t.co/W9WmOiT1Lq
2021-10-20 Predicting bond defaults using only public data (e.g.macro economic) and transformer-based natural language processing models to generate embeddings of the project descriptions published for each muni-bond.

https://t.co/19wDLS4dkS https://t.co/lXRivkFGul
2021-10-19 @marked_man @TonyBaer And the waiting spot is too close to the track and adjacent to the beam.
2021-10-19 @marked_man @TonyBaer The bacteria and virus-infected phone, the lack of card or digital payment, the obscene cost of the call, who doesn’t have a cell phone anyway so why would we need a payphone and why shouldn’t the call be free because we are the product - it’s a missed opportunity to sell adds…
2021-10-18 Crobat - Crypto limit order book #lob analysis

Python GitHub:
https://t.co/Z068vTjm95

Based on this Bitcoin analysis:
https://t.co/4lehqWdD6t

and the embedded Python code
https://t.co/limFa8V8pM for implementing Order Flow Imbalance (OFI) and Trade Flow Imbalance to BTC-USD https://t.co/JFKat7qB6E
2021-10-17 Robust and deep Limit Order Book models examined in this paper by JPMorgan researchers

https://t.co/jlgJ8mDAbv #lob model paper https://t.co/d7iMFPQkYn
2021-10-17 Paper examines hidden #liquidity on exchanges: hidden or “iceberg” orders that allow traders to hide (at least) a fraction of their liquidity-supplying standing limit orders #metrics

https://t.co/CJ0j3iIWxv https://t.co/EaQFvDRqp2
2021-10-14 Dynamic Mode Decomposition vs PCA for Time Series Prediction - article https://t.co/8FaEDyWzeM

PyDMD GitHub:
https://t.co/nh8iSUTNFF https://t.co/WUSB1PIia1
2021-10-14 Microsoft + Nvidia have created a language model with triple the parameters of GPT-3:

‘The Megatron-Turing Natural Language Generation model (MT-NLG) is more than triple the size of GPT-3 at 530 billion parameters.'
https://t.co/dEV3OLAAtC
2021-10-14 Refactor or Rewrite? An often unpopular perspective…
https://t.co/jGvyV7cRat
2021-10-14 The inevitable and valuable consequence of the quantified self?

Augmented reality glasses that remember and recall…

#privacy

https://t.co/wHE0SapGrn
2021-10-13 Graphs and Multivariate Time-Series predictions: instance-wise graph-based framework to utilize the inter-dependencies of different variables 

Paper:
https://t.co/0o4w0M9jMO

Python GitHub:
https://t.co/TnWIhefRlZ
2021-10-13 From Lipschitzness to Kernels to Hyperparameters and Embeddings: the new lexicon of machine learning terms and their definitions
https://t.co/TLwBvUTda7
2021-10-11 Generative Genomic NFTs
https://t.co/yqIue0TVSC
2021-10-10 Metaverse market structure article updated…
https://t.co/jX9KbPtVYc https://t.co/Idt6SlmApv
2021-10-09 #BDT Derivatives Model in R #rstats
Nice - via @Rbloggers
https://t.co/zxuzl4CMUK
2021-10-09 Supply Chains and Metaverses

But it’s all a transient flow, part of an endless situated circulation that computes our world into being every minute. The metaverse is already here, it just hasn’t been digitized yet.

https://t.co/sdmLVXuz4C
2021-10-08 The Dysfunctional Supply Chain in our New Normal…

https://t.co/WalFXlnxtE
2021-10-07 Housing price inflation dynamics via strategist Leonard Kiefer

https://t.co/p2RI7RvrkO
2021-10-06 Deep Learning on Tabular Data - paper surveys the current state of the science

https://t.co/CQ5g8Wft3U https://t.co/cGp56uO0DZ
2021-10-06 WIRED on the Exponential Age

‘IF THE PRIMARY cause of the exponential gap is our failure to predict the cadence of exponential change, the secondary cause is our consequent failure to adapt to it.’

https://t.co/mDktK1tUFa https://t.co/BEvNbMLkcm
2021-10-06 Low code data analytics workflows based on Drag and Drop, DAGs and Pandas: https://t.co/Jr0A8WEz6K

https://t.co/vhAGj2I95G https://t.co/Uyam7GK6Y5
2021-10-06 Paper: Predicting one-day-ahead measures of liquidity in Vietnam stock market; AMIHUD measure on the basis of historical values of AMIHUD and SPRD, RESPRD, VOL and TO measures.

https://t.co/pmDXgMSthc https://t.co/royynheMbS
2021-10-06 Web 3 Ecosystem Primer
#Crypto #DeFi

https://t.co/hliZ21DDX0
2021-10-06 For those who are new to Python and need a free (and open-source) online course

https://t.co/m3wddl2yjT https://t.co/beNXZFQOAw
2021-10-06 HEX, DAGs and yes, the future of Jupyter notebooks may be reactive

https://t.co/Cpm7aJvmep
2021-10-06 The Microstructure of Cointegrated Assets

“fair prices, as a function of the observable state of multiple order books. We compute the microprices of two highly cointegrated assets, using Level-1 data”

@Markov #Hawkes #LOB Model

Python GitHub:
https://t.co/vCXdw87jsG https://t.co/OCZT5pe2QL
2021-10-06 #TCA Paper reimagines (market/price)-impact as a State-dependent Hawkes process on Limit Order Books

https://t.co/lZIGgzqwiK

#lob #tca https://t.co/S0ysYWrqq1
2021-10-06 This paper’s econometric model of stock returns uses financial ratios (dividend yield, earnings-to-price ratio, book-to-market ratio as well as consumption-wealth ratio) that are adjusted with an exponential transformation to reduce non-stationarity

https://t.co/oKqVYEj9xV https://t.co/Nua6542PGE
2021-10-05 Good technical analysis of BGP Protocol / DNS and how it relates to the Facebook & Instagram Outage

https://t.co/Wu7F89oSd5

And the severity described here:
https://t.co/AVrX2b30g3

and here:
https://t.co/czlIlSdKlK
2021-10-05 Corrected here:

https://t.co/bbJYGVrq6U

Thank you! https://t.co/f174Z7gOfS
2021-10-05 Paper on Options Order Imbalance Commonality between individual call and put options and the market - paper

https://t.co/FjdhXy7QY5 https://t.co/Fpp6AzJvU9
2021-10-04 Ml AI Data #MAD Ecosystem and Deals via @mattturck

Article:
https://t.co/1l8INLVjf2

Company Ecosystem:
https://t.co/AY0PzqQnDn

Airtable spreadsheet company list:
https://t.co/jbMHwrbcQd https://t.co/KhmHUN8DeT
2021-10-04 Liquidity in Crypto - paper

https://t.co/e4sU6MLZNs
2021-10-03 New #ML #ebook

PATTERNS, PREDICTIONS, AND ACTIONS: A story about machine learning

https://t.co/d4zVQaxGQA
2021-10-03 Crypto Volatility: Paper on intra-week, intra-day, and intra-hour patterns in volatility and volume for two leading cryptocurrencies and for three exchanges. #DeFi #CeFi

https://t.co/Q9m61GoCOQ https://t.co/BaSggNJx2C
2021-09-30 ‘Detect ultimate controlling entities in global corporate networks. α-ICON uses company-participant links to identify super-holders who exert control in networks with millions of nodes.’

R #rstats GitHub;
https://t.co/1tJb1GUzRN

Paper:
https://t.co/d3u9gdyYxG https://t.co/tFqO3RpDJ6
2021-09-30 Role of random strategies in financial systems from a micro-economic point of view.

https://t.co/1JaJ2vDP45
2021-09-30 NBER Papers Sankey charted with the Tidy R #rstats code here:
https://t.co/jylGosEB8b https://t.co/N4zbMT4RjO
2021-09-29 Opacus, a PyTorch / Python library for differential privacy in deep learning with selectable PrivacyEngines

GitHub:
https://t.co/VdZYHEWIDI

Paper:
https://t.co/RJHSC1GRsR https://t.co/4TZ2VqthAo
2021-09-28 Multi resolution deep neural net with wavelets for stock price prediction paper

https://t.co/LrOioszX9l https://t.co/rvKPn64rLr
2021-09-28 Paper on global stock market correlation and volatility dynamics with embedded Stata code

https://t.co/L9iv3CKccR https://t.co/VpeZUmhv8p
2021-09-28 Former Google CEO Eric Schmidt opines on the ascendancy of #misinformation

https://t.co/gG4goh7Z9b
2021-09-27 Stationarized order flow imbalance: stationary-log-OFIs
#LOB #OFI paper

Dalian Commodity Exchange / Coke Futures

https://t.co/YERvdB7y1D https://t.co/E5WOZTcxjf
2021-09-27 #DataViz Taxonomies
https://t.co/AFIM8roUXO
2021-09-26 Growth of open source projects/startups by GitHub use - list by @RunaCapital

https://t.co/YvFIPXlguj https://t.co/RpO2ZsoWJm
2021-09-24 Ok, this is a couple of years old, but the post has a still relevant discourse on formulaic models and parameterization for realized volatility estimation
https://t.co/LlYywP1ixM
2021-09-23 Machine learning on streaming time-series - aka River

Python GitHub:
https://t.co/UJbTQxpHJL

Docs:
https://t.co/FYaQEhLQNI https://t.co/XZRGZuxrTx
2021-09-23 Trade Classification in Fast Stock Markets - inferring trade direction #lob (several algorithms implemented including original Lee-Ready and new one from Simon Jurkatis)

Python GitHub:
https://t.co/eGN4CAYdga

2019 Paper:
https://t.co/ufdc5Kz5lg
2021-09-23 Paper on modeling differences between market-moving tweets and retweets seconds after the event before and after market hours

https://t.co/XcBDzn5acr https://t.co/R4Yn2JyVid
2021-09-23 PyWATTS - an open-source Python-based non-sequential workflow automation tool for the analysis of time-series

Python GitHub:
https://t.co/uVfpLPM8Zr

Paper:
https://t.co/2ky6V5u1hZ
2021-09-22 AutoFeat for automated feature generation / engineering

Example Jupyter Notebook: https://t.co/aVwyohD9GH

Python GitHub:
https://t.co/tsYWPHcHjQ
2021-09-22 AutoTensorFlow AutoML

https://t.co/bRivytoXbj
2021-09-22 Multiple AutoML libraries demonstrated in a single Jupyter notebook tutorial: AutoGluon, AutoKeras, AutoPyTorch, AutoSklearn, EvalML, H2O, FLAML, PyCaret and several others

https://t.co/rk2qWzXm4T

#tabular #timeseries
2021-09-21 Salesforce ~17 hours ago releases Merlion for time-series AutoML forecasting and anomaly classification

Python GitHub: https://t.co/xRRmDtP6Ct
Paper: https://t.co/opRaGG7pux https://t.co/vNh2jFJxQM
2021-09-20 “In a mostly remote world, a strong manager is someone who gets the best out of the people they’re managing, and sees the forest from the trees—directing workers in a way that’s informed by both experience and respect."

theAtlantic on Remote Management

https://t.co/Z6Xf8VCtKA
2021-09-20 #DataViz inspired from particle physics for representing CME Limit Order Book #LOB information

https://t.co/fXOxBi8tTc https://t.co/j3Egizecfm
2021-09-20 BCG on The Future of Work (pic is an idealized topology of the new office environment)
https://t.co/BrjCR3CkL8 https://t.co/0x4uRkjuPg
2021-09-19 Solve {O, P}DEs using PyTorch

https://t.co/2CBhMxEzLg
2021-09-19 Neural hash functions and applications in Machine Learning article

https://t.co/TuznaZiSW8 https://t.co/z3KebUdxCn
2021-09-19 AutoML for Graphs - AutoGL is PyTorch based

Web site:
https://t.co/Rp6Bth0mU6

Python GitHub:
https://t.co/h87DkZUile

Docs:
https://t.co/uxDJurjRuw https://t.co/UnfAJu2CVb
2021-09-16 Patterns and Anti-Patterns as Indexation eclipses active investing and thinking

https://t.co/5kRmxCl3Mj https://t.co/Bgz6NRsgf7
2021-09-16 Paper:
“Learning Equilibria in Symmetric Auction Games using Artificial Neural Networks”, published in Nature Machine Intelligence
https://t.co/Cy0WOE0r7e

Python GitHub:
https://t.co/KuQ4fyJkxU
2021-09-16 European Startup Pay in Cash & Stock Options jump 60% year-on-year for techie talent - embedded comp calculator

https://t.co/mt2F0Rwyfd
2021-09-16 @MrFuntactic …Or the birth of new markets… https://t.co/EnSzJiIMnZ
2021-09-16 ETNA is an easy-to-use time series forecasting framework. It includes preprocessing, feature generation, and predictive models with unified interface

Python GitHub:
https://t.co/v9UFU19vs8

#SOTA https://t.co/wtfZyvFJsB
2021-09-16 LibKGE is a PyTorch-based library for efficient training, evaluation, and hyperparameter optimization of knowledge graph embeddings (KGE).

https://t.co/nTGCN8fufF

Paper:
https://t.co/S2Cz3Ak0a8
2021-09-16 Visual Python Scripting | Ryven

https://t.co/TYlItis9Qf
2021-09-16 Jump Trading announces the build out of its Crypto trading business and related software engineering with Solana, Wormhole and Serum

“it’s likely to grow significantly in myriad and unpredictable ways over a sufficiently long time horizon.”

https://t.co/kCER7qW3DW
2021-09-15 This Data vs Dispatch blog focuses on #DataViz
https://t.co/51FreXVqLr
2021-09-14 Kedro data science pipelines in Python

https://t.co/ZrVxuE9Owe https://t.co/z7EihAPJsR
2021-09-13 There is so much you can do inside Colab including using pyngrok to run a JupyterLab instance with three lines of code:

!pip install colabcode
from colabcode import ColabCode
ColabCode(port=10000, password=“your password”)
https://t.co/t23e4J5v2D
2021-09-13 Physics-based Deep Learning #eBook

https://t.co/NlhnibdKmQ https://t.co/pbSS31F2Wo
2021-09-12 FT opines on the Crypto Herd and a very negative outlook
https://t.co/02mjSuPXzK
2021-09-12 Using a feed forward deep neural network (DNN) to forecast one minute ahead depth of #lob limit order book volume of stocks in Tel Aviv

https://t.co/8Y15LrkfYd

#lob #liquidity paper https://t.co/fJS68gL3tW
2021-09-12 Time Aware LSTM (T-LSTM) is designed at the architecture level to handle irregular elapsed times which is the case with financial markets.

Python GitHub:
https://t.co/HS5ahKi9II
2021-09-12 Text-graph enhanced #KG Knowledge Graph representation learning model Teger. This paper models the text corpus with a heterogeneous entity-word graph.

https://t.co/83MUy6LKfa

Pytorch #KG
https://t.co/imxT7gfViU

DGL-KE #KG
https://t.co/BzlHs9oyy2 https://t.co/cLmSszyy5h
2021-09-12 Time Series operations, date handling, manipulation - Python

https://t.co/Z6hAEYKeEs
2021-09-12 Pytorch for Time-series prediction = TorchTS

https://t.co/MQKFvxGhHs
2021-09-12 TSFlex is a Python Library for flexible time series processing & feature extraction, making few assumptions about input data and maintains datetime index

https://t.co/bQG3vAfuFr https://t.co/9OKjjQyBfU
2021-09-10 Vertical FinTech Subsector adoption…
https://t.co/NjybZwfKkF https://t.co/tmW4MS0uQG
2021-09-10 “McKinsey Global Institute says that companies are 23 times more likely to get new customers, six times more likely to retain existing customers, and 19 times more likely to be profitable when they use insights derived from data and analytics."

https://t.co/FKxafliUtc
2021-09-07 Bitcoin fragmentation, cross-impact an market impact dynamics analyzed in this paper - trade and order imbalance model features

https://t.co/FU3LzAU4Cu

#TCA https://t.co/A6C3WyJjd3
2021-09-07 BTC Bitcoin #LOB Limit Order Book Modeling - Glosten GMM - paper

https://t.co/oXAZwtsOmq https://t.co/i4msogIyjv
2021-09-07 Legal dynamics of Web scraping and close adjacencies: browsewrap, clickwrap, GDPR

https://t.co/JbZ4oFUkZt
2021-09-07 Deterministic, Independent- of-Corpus Embeddings (referred to as DICE) for numbers, such that their cosine similarity reflects the actual distance on the number line.

#KG numerical / quantitative knowledge embedding

Paper:
https://t.co/V4WRykl2Ow https://t.co/16lDrUcMD6
2021-09-07 Knowledge Graphs #KG with numeric / quantitative embeddings - paper

https://t.co/4TAw7xq5SW

AmpliGraph GitHub:
https://t.co/sBdGBTxzM0

Background slides / video on #KG
https://t.co/te7vrCvpwX https://t.co/IwHFdXip1c
2021-09-07 Paper presents current state of the art research in knowledge embedding - from the simple to fusing complex relationships

https://t.co/SgC7OZBbgK

#KG https://t.co/MkSyt7UBHk
2021-09-07 KEPLER for Knowledge Embedding

https://t.co/f6xDh4H1KU

GitHub:
https://t.co/44QUf139k0

WikiData5m
https://t.co/uJdis8xmSK

#KG https://t.co/cTrAVF1Afi
2021-09-07 GPT-J

GPT-J is a 6 billion parameter model released by a group called Eleuther AI to democratize huge language models for #NLP & #NLG

https://t.co/vCLn1ndpga

Google Colab / Python:
https://t.co/WjtYw9RhnM
2021-09-07 Price infomativeness in ETFs - paper

https://t.co/UATqXuoD4y
2021-09-04 Paper on predicting VIX using adaptive machine learning and a wide swath of economic time-series

https://t.co/s2TusZP962 https://t.co/WYYNmbpQCN
2021-09-04 BAMT - Bayesian Analytical and Modelling Toolkit.

https://t.co/7yA6lserZb

#SyntheticData https://t.co/dVhLHeje31
2021-09-03 FINQA, with Question-Answering pairs over Financial reports with numerical reasoning

Paper:
https://t.co/GtUGGOQhYY
2021-09-03 Primer on Graph Neural Networks

https://t.co/qYkX3fQFao https://t.co/xQRqXFUBSH
2021-09-02 Pwc on remote work dynamics survey

https://t.co/L8Q1r4emaE
2021-09-02 Ambient Banking and Embedded Finance…
https://t.co/ZXNXMie5qR
2021-09-01 Market impact of stocks trading on the Shenzhen exchange - #TCA Paper

Paper:
https://t.co/6mpI9ZRv3D

λ(b), μ(b), and θ(b) and order execution and flow imbalance https://t.co/CSIXqIbMIx
2021-09-01 Volatility of Crypto spreads and other liquidity measures - paper

#BTC #ETH

https://t.co/njK02qL75B https://t.co/A4OWICOo5R
2021-09-01 Pipelines are important in data science across finance and other commercial endeavors and Jupyter notebooks makes it harder with hidden state.
==> Ploomber to the rescue

Blog Post: https://t.co/lZejtek2dD

GitHub:
https://t.co/rhJeWxQYGz https://t.co/9Y2kadrSfU
2021-09-01 Stock Bid-Ask spread based estimators, bias and liquidity inferences - paper

https://t.co/flymgdN3Oo
2021-08-30 Impulse response to #Liquidity metrics - tightness, depth, breadth and immediacy - for stocks in India - paper

https://t.co/n6A2iHslBG https://t.co/FzhLq7K5Fk
2021-08-30 News and information transfer to stock markets using Twitter content, Scipy, multiprocessing libraries, & SESTM / transfer entropy models #NLP

Paper:
https://t.co/ZIKiwqKfmg

Jupyter / Python GitHub:
https://t.co/PmFyS1PSpy https://t.co/hYRb6HpuLF
2021-08-30 BLS economic data and modeling in R #rstats

https://t.co/s5znRlf2SH https://t.co/JJSsuLVgPe
2021-08-30 Pairs trading - modeling structural break-aware pairs trading strategy (SAPT), by leveraging machine learning techniques - paper

https://t.co/2RjcU7EfAM https://t.co/opi0ItImPS
2021-08-30 Entropy and Stock Market Depth - #Liquidity paper

https://t.co/hcV8rt8GrQ https://t.co/MSLxtsjYCG
2021-08-30 Deeper limit order book using Feed Forward Deep Neural Network (DNN) - paper (alas, uses old 2012-2018 stock data set)

https://t.co/nkXbjTHA75
2021-08-30 Facebook paper on new Neural Database architecture - enables machines to search efficiently through unstructured text for facts

Blog post:
https://t.co/gTsU4dB22P

Paper:
https://t.co/l8pTDqiAxb

Python GitHub:
https://t.co/fUoWNOCDGt https://t.co/BsjhXWQOF7
2021-08-30 DeFi Adoption Index…
https://t.co/wyP3USbLoU https://t.co/DUqJFW9H8J
2021-08-30 Startup from the prism of under-resourced disruptive potential

https://t.co/QNIDATn5H2
2021-08-29 Latent Liquidity (and intraday volatility) - paper embedded in 2020 Journal of Portfolio Management

https://t.co/uoQCl0KWcd https://t.co/y8sXN2Yslv
2021-08-29 Paper on #Crypto #Liquidity measures including high frequency

https://t.co/X5NQQGtacF https://t.co/vIJioyMb0X
2021-08-29 Paper on market structure and key attributes of DEX and Swap crypto trading and automated market making

https://t.co/Ucg79egy0M https://t.co/7OWcLZfKG5
2021-08-29 CeFi vs DeFi architecture, attributes and synergies

Paper:
https://t.co/167Xi7V4i5 https://t.co/8730VfS4rz
2021-08-28 Paper on visual misinformation and disinformation: videos, memes
https://t.co/qYt2Ph7BpW
2021-08-28 Time Series prediction using PyTorch

https://t.co/m3PIjE1ppx

#automl https://t.co/EeVHdsMoUz
2021-08-28 Paper - #DLT and the evolution of Securities Markets | Columbia Business Law Review

https://t.co/vFoslyHTH5

#DeFi
2021-08-28 HyperGBM is a Python library for full-pipeline AutoML: end-2-end data cleaning, preprocessing, feature generation and selection, model selection and hyperparameter optimization.

#automl for tabular data

https://t.co/aG4EP0Kg5k https://t.co/T2xO4W95rH
2021-08-28 Embedded Pythonic time-series database - tstorage

https://t.co/AxGgN20Tlb
2021-08-28 Syft + Grid provides security & privacy in Python deep learning.
Syft decouples private data from model training, using Federated Learning, Differential Privacy, and Encrypted Computation with TensorFlow & PyTorch

https://t.co/yPH9OcZUCr https://t.co/Q5bpPMy4Ya
2021-08-27 Spinning out firms with a different lazer focus and DNA has never been easier to do
https://t.co/kJrT0axnVb
2021-08-27 Customized maps in Python

https://t.co/nUmgl2voOb https://t.co/3rcgzT2IgV
2021-08-24 Continuous Futures - python code:
https://t.co/7QzzUkJWIQ

https://t.co/qcRYt00MFf

Metadata for contracts and simple but common rule-based methods:
https://t.co/WnG50poeSz

Background:
https://t.co/uPbZtOK12c
2021-08-24 Venture Capital investments - human experts vs boosted decision trees (w/o clear base) - paper https://t.co/uM8HIZL2Oq

Same authors use graph embedding and digital traces:

Predicting future funding
https://t.co/6vM8ojR7WU

Predicting startup survival
https://t.co/UdAd4FlEXj https://t.co/NIIAh5ga9N
2021-08-24 Linear Model Trees combine the learning ability of Decision Tree with the predictive and explicative power of Linear Models.
https://t.co/Bruo9Vdren https://t.co/ZAaI72A4ET
2021-08-23 Crisis detection / classification using Gradient Boosting Decision Trees:

https://t.co/gDMh96Pjb8 https://t.co/GncACeyjHL
2021-08-22 DeltaPy - Python based time-series augmentation

Paper:
https://t.co/Q0OSdJaUVn

GitHub:
https://t.co/oWtk8UOdPi https://t.co/8DDBZ4cjbL
2021-08-22 Time-Series Augmentation methods compared

PLOS Paper:
https://t.co/lkGspZGjJl

Python GitHub:
https://t.co/toUxTUr6ZX and methods: https://t.co/8Qjm9VC2D4 https://t.co/sVrCXswOMk
2021-08-21 Structural acceleration rather than seasonal flight to remote work for coders and other techies

https://t.co/XraKV542ix https://t.co/subu1ZSPDj
2021-08-20 New compendium of machine learning #ebook by @cohenori

Article:
https://t.co/jBnYK9wNLA

#eBook as Google Doc
https://t.co/Id72GjmNuz

GitHub markup version of ebook:
https://t.co/UaeyErbb6z
2021-08-20 Causality and Time Series - beyond Granger causality to identify only the true causes of a target time series, given some graph constraints using directed acyclic graphs (DAGs)

#ICML Paper
#icml2021_reading

Blog Post:
https://t.co/9GvazvTnJA

Paper:
https://t.co/Y6lgYwK7ML https://t.co/nsCN8SPi0h
2021-08-20 Multi-Horizon Limit Order Book Modeling by Oxford-Man Quants using
Intelligent Processing Units, GPUs with a public FI-2010 dataset.

#Graphcore #Attention

#LOB Paper:
https://t.co/tIw3RcerQh

Blog and video:
https://t.co/5hTirHHWp8

Python GitHub:
https://t.co/m4iyj3maOX https://t.co/xKWqx9RCXV
2021-08-19 A dark perspective on ESG and Capitalism

https://t.co/sZrkoIyyXV
2021-08-19 If you love Basketball Analytics, please review this substack by by @owenlhjphillips

https://t.co/adSfRtbSbr
2021-08-19 Expected Future Flow Shortfall (EFFS) as an alternative to traditional market impact - #TCA paper by Campbell Harvey and others…

https://t.co/RfGcnfb0vz https://t.co/EMSvpro5cF
2021-08-17 CNN and RNN Neural Nets for Time Series

https://t.co/4YjIbNhlPB
2021-08-17 Intrigued with the emergence of @bluesky - but the potential is much greater than cryptographic messages or DAO

https://t.co/OIP8tW1RCr

Rather, the potential is for a new ecosystem with multi-verse and real-world crossovers governed by multiple ESG ideals.
2021-08-17 Cryptos compared to traditional asset classes: paper concludes: most of the variation among cryptocurrencies and classical assets can be explained by three factors: the tail factor, the memory factor and the moment factor.

https://t.co/iBZ6A6emDH https://t.co/iqtZNw9gh9
2021-08-17 Glostens structural model applied to Bitcoin - trade informativeness and #lob liquidity - paper

https://t.co/9tEkDRzDkM https://t.co/XZ3c3GbfQx
2021-08-15 Predicting startup success by automating venture capital success factors as features

Paper:
https://t.co/GrZcZDs5Mg

GitHub:
https://t.co/261Rus6YH7

Article on Gartner prediction that most VCs will be using #ML to make predictions soon:
https://t.co/iUeCFVKAYB https://t.co/UippqMcPFT
2021-08-15 Paper compares Python time-series library capabilities

https://t.co/1Wv3Myr9vA https://t.co/qK9ttYnPH3
2021-08-13 JP Morgan - institutional perspectives on Cryptos
https://t.co/weRPkdD2mD
2021-08-13 Interactive Linear Algebra #eBook

https://t.co/SHgQSA4XfJ https://t.co/Nu7OEugvQ0
2021-08-13 The startup AI21 Labs trains a massive language model supporting multi-words / n-grams - Jurassic-1 Jumbo — contains 178 billion parameters, or 3 billion more than OpenSIs GPT-3 (but less than than PanGu-Alpha, HyperCLOVA, and Wu Dao 2.0).

#NLP

https://t.co/3MI59GEiu9
2021-08-13 TruLens - a Pytorch & Keras TensorFlow compatible unification of machine learning libraries with explainability

Paper:
https://t.co/E4ksdKpj5J

Library / web site:
https://t.co/rVh4GfDOga

GitHub:
https://t.co/0IJGms8HwV

Example Jupyter Notebook:
https://t.co/4qnrQIDNC5 https://t.co/r86BBigRa4
2021-08-13 Bayesian Additive Regression Trees (BART) paper infers most factors in stock factor models are trash in this nonparametric framework that captures non-linear effects.
https://t.co/v1MIIifVaq
2021-08-12 LSTM and Limit Order Book features for trading stocks - #LOB #ML paper

https://t.co/iz2ntLrerX https://t.co/ilfsMGVhar
2021-08-12 Stochastic Time-series Generative Adversarial Network, a hybridization of the modular financial textual network and a financial numerical network.

https://t.co/V4CxRjJhDq

#NLP #GAN
2021-08-12 Paper provides overview of multiple approaches to sentiment analysis of stocks with embedded Python code using the ntlk library

https://t.co/9IFQzvVlnC
2021-08-10 Bank investments in Crypto and Blockchain Companies…

https://t.co/ZuV3aapFjA

https://t.co/foWghkxPeh https://t.co/4dZ6rgJkEx
2021-08-10 New BIS Report:
Quantifying High Frequency Trading Arms Race

https://t.co/Bbg5teSjUJ #hft https://t.co/bfZ3vIUtxy
2021-08-10 On Natural Language Understanding (NLU) / Machine Comprehension

https://t.co/b3pczLvJxQ https://t.co/FVA4Txoth7
2021-08-09 Snorkel #Airdrop, startup has reached Unicorn status >#1Bn valuation with their advances in data labeling

https://t.co/MbGk4SgTYi
2021-08-09 Sovereign Bond #Liquidity Effects and Spillovers - paper

https://t.co/mDhx35wLok https://t.co/6FIfgV4Sil
2021-08-08 Collection of Python #ebooks

https://t.co/c0o1wLa5L5 https://t.co/r71BP1pJ6C
2021-08-08 Liquidity estimators for cryptocurrencies - compared and contrasted: amihud, roll, percent effective spread and many more - paper

https://t.co/X5NQQGtacF

#crypto #liquidity https://t.co/LQM2bYjnon
2021-08-08 Interday Bitcoin Dynamics including abnormal return spikes - paper

https://t.co/Y0T1Nb8qgS https://t.co/4N6orCKZ49
2021-08-08 Intraday Bitcoin Dynamics - Paper

https://t.co/dcYBcsURVJ https://t.co/S2p8cFmaAW
2021-08-08 Negative Selection in Algorithmic Trading - paper

https://t.co/sDyQEIQC6L https://t.co/QxID7EPERZ
2021-08-08 Protecting Terrorist Attacks - Paper
https://t.co/I9eolIeeXW https://t.co/2rGB64diWW
2021-08-08 Named Entity Recognition using BERT and RoBERTa pre-trained language models - paper

https://t.co/pF9KYeEPeC

#nlp
2021-08-08 Stock predictions using XGboost, fundamental, technical, and sentiment features - SHAP

(For descriptions and methodology, not for predictive value)

Paper:
https://t.co/CCWdYXLoVc
2021-08-08 Photonic Quantum Computing, Entanglement and … Aliens - paper

https://t.co/uDW1DehqUW https://t.co/ApUYr6EyNZ
2021-08-08 Reinforcement Learning and Algorithmic Trading - Dissertation
https://t.co/BDpKPn24BY https://t.co/ezC2846xaL
2021-08-05 Transformers with Self Attention - a Primer

https://t.co/EEeYEvzZXD https://t.co/07GRbh6YPm
2021-08-05 Crypto Coherence (Wavelets) and other analysis to determine hedge effectiveness against cross-asset risk spillovers and Covid spikes

https://t.co/kfcu5sydrj https://t.co/ROvIpKcZyQ
2021-08-04 ‘No Code’ hits mainstream

https://t.co/eqor2nOJSO
2021-08-03 Reproducibility for analytical papers would be much easier if code and data sets were available as a general case.
https://t.co/4BFnPlkPnk
2021-08-02 Time Crystals are seemingly all the rage these days…

https://t.co/gSeS5tSC0g https://t.co/H3BadnM0lX
2021-08-02 @superbvibe @zerohedge Ahh, you were right.

https://t.co/LhFUhoOmo8

Many ways of displaying the comparison, in this case FRED allows for indexing the market and the fed to 100 at the recession start…

Feel free to make your own transformations or graph them natively. https://t.co/P1iC3n2FD0
2021-08-01 And this Dystopian Metaverse Perspective:

“The metaverse was born in Neal Stephenson’s 1992 Snow Crash, where it serves as entertainment and an economic underbelly to a poor, desperate nation that is literally governed by corporate franchises."

https://t.co/yYLs9iG2WJ
2021-08-01 @zerohedge Lol, I’m sure some of the more robust multivariate ML models have that baked-in too. https://t.co/VYLS3W3iAT
2021-08-01 Ethereum $ETH volatility explored in this paper using multiple time series and econometric techniques:

https://t.co/rMFFD3CEhm https://t.co/04IOZnmWtv
2021-08-01 Using limit order book dynamics combined with word embedding of financial news to forecast stock volatility

ML-NLP model

Paper:
https://t.co/hjxWO3hsXr https://t.co/DpUSxEWIjL
2021-08-01 Factor modeling in portfolio optimization paper by BNP quants - a cross-sectional risk model using the stock return betas and a small number of style factors and macro-sectors indicator functions as explanatory variables in a cross-sectional regression.

https://t.co/4IVronxhY4 https://t.co/OYjf8J3Cor
2021-08-01 Facebook $FB is a Metaverse Company - but what does that mean?

https://t.co/82PK3qYtwu
2021-08-01 Blenderbot - Facebook $FB blends into the Metaverse with a chatbot that can search the Web, be articulate with an ability to summarize and recall previous conversations outperform the standard encoder-decoder architectures.
https://t.co/8tZNgb4eYJ

Paper:
https://t.co/N6D2e6GXQG https://t.co/ToBIqIvpZO
2021-08-01 A16Z on new Cloud Economics and the imperative to optimize to improve margins
https://t.co/RaBiukmhsg
2021-08-01 Chasing a rabbit down a hole to illuminate the essence of Bitcoin…

https://t.co/RyEoa4i062
2021-07-31 Modeling #lob limit order book dynamics - in particular, order execution imbalance (OEI) impact on price movements and order book evolution on stocks in Shenzhen - paper

https://t.co/Am6u1ClSeP
2021-07-31 Pykg2vec is a Python library for learning the representations of the entities and relations in knowledge graphs and includes 25 state-of-the-art knowledge graph embedding algorithms.

Paper:
https://t.co/xWi0z3jToq

Python GitHub:
https://t.co/lJNpA58h8K https://t.co/lKrtUb333E
2021-07-31 FinBERT - pre-trained language model for financial communication

Paper:
https://t.co/A2BaZebUrX

Python GitHub:
https://t.co/4vvZHfThdw

Jupyter notebook example:
https://t.co/8SFdwUwEBM https://t.co/UpJ0r2y6cn
2021-07-31 Jupyter extension Text2Code converts english queries into Python code.

https://t.co/Hn7kvokLrr https://t.co/PBG0NXIVoV
2021-07-30 Aurum report on 2021 hedge fund strategy performance

https://t.co/rc1fHg7y61 https://t.co/veYrg0GbQd
2021-07-30 Ampligraph for Knowledge Graph Embeddings and #KG prediction

Python GitHub:
https://t.co/sBdGBTxzM0 https://t.co/I1Rn4izLqm
2021-07-30 And the ability to host, fun and view these Gradio models is provided by

https://t.co/VFoVlUgloX
2021-07-30 Ode to Gradio - integrated multi-model, multi-domain #ML model training, containerization and Deployment with UI

Paper: https://t.co/Ilhl8Nytau
Python GitHub: https://t.co/yBxHlg6zFx
Python Examples: https://t.co/0D2MGHf98T https://t.co/xoryORMFxQ
2021-07-30 And the org site for Storywrangling powered by the Twitter deckhouse feed (10 percent of all Tweets) and UVM Supercomputer to do the n-gram analysis

Online site:
https://t.co/D5nD4xTUe4

Real-time view:
https://t.co/Ho0ljepWQ4
2021-07-30 Storywrangler is the first visualization tool to look at multi-word phrases. Powered by UVM’s supercomputer, the Twitter analysis tool analyzes the rise and fall of n-grams: stories, words & ideas each day.

Paper:
https://t.co/FnbDztiZg8

Python GitHub:
https://t.co/ThTiiNHvtv https://t.co/OmI7GeR9u3
2021-07-30 Google utilized its building detection model from satellite imagery to create an Open Buildings dataset, containing locations / dimensions of 516 million buildings in Africa #AltData

Dataset: https://t.co/h9P4WSmAse
Paper: https://t.co/3LJi2iV8e8
Source: https://t.co/K3Qlr9yPxO
2021-07-30 Facebook open sources on GitHub, Driodlet - a Facebook research project: a modular Python-based embodied agent architecture and platform for building embodied agents with grounded dialogue, interactive learning and human-computer interfaces. https://t.co/mTuV24QXNk
2021-07-30 A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. - in jtrading.

https://t.co/MIUS5pQYDT https://t.co/mdcr9b4fCv
2021-07-29 Ode to Data Mesh

https://t.co/Mmn32DyPTt https://t.co/YJuaXY8KIT
2021-07-27 Saber Labs, the development team behind Saber — a Solana-based cross-chain exchange for swapping stablecoins and wrapped tokens — has raised $7.7 million in a seed funding round.

https://t.co/uWHWOwh2ww
2021-07-27 Aave looks at creating Ethereum-based Twitter to harvest the kinetic energy in social media interactions #DeFi
https://t.co/5ohbS0KY5l
2021-07-27 FinTech disruption profiled by @McKinsey

https://t.co/3BKBPnCtNb https://t.co/Y09arPY1uT
2021-07-27 FX Pairs Trading -

co-integrated next day LSTM based predictions

Python GitHub:
https://t.co/nV2dD06GWV
2021-07-27 Reverse engineering information implicit in charts using machine learning (GMM) deep-dive

https://t.co/70nhdw0oCD https://t.co/IWUg4s8Vvh
2021-07-27 Another deep-dive blog and python EDA code on the collective wisdom of expert forecasts (of bank stocks) using ensemble machine learning with two models
(Dawid-Skene and Platt-Burges)

https://t.co/ZCphs7rvtD https://t.co/88Dyx1adUv
2021-07-27 Petrochemical impact on forex rates - a well described quantitative deep dive exploration with Python scripts

https://t.co/zhyhsM0YTE https://t.co/JvMZmABNzV
2021-07-27 Tutorial on Knowledge Graphs, applied to news querying #neo4j

https://t.co/kQf1tfZQ8J
2021-07-27 A new system of rumor (vs factoid) detection and knowledge graph evidence based validation of the rumor

Paper:
https://t.co/sGekKnOXSl

GitHub (Code not yet released):
https://t.co/0FONXhYj1x https://t.co/oNrTwdoxrR
2021-07-27 2/2 Another recent paper on Conversational Question Answering

Paper:
https://t.co/CWjmyFvYw4

Python, TensorFlow GitHub:
https://t.co/D6ZI56h6Nq https://t.co/Lnl488toWH
2021-07-27 1/2 Conversational Question Answering lives at the intersection of microservices, NLP, machine comprehension, and knowledge graphs

Paper:
https://t.co/7r5Ekar3JZ

GitHub:
https://t.co/gheBP7Zzv3 https://t.co/X4Rqm88ksN
2021-07-27 If in the future, every firm is a FinTech firm and peddling in the #Metaverse, then this article on how $FB is metamorphosing is a really good read today.
https://t.co/vPbt9m6RJ5 https://t.co/6hIs69lBag
2021-07-27 PoW, PoS, ESG in #DeFi
https://t.co/BiEIkHP3Xv
2021-07-27 Goldman #DeFi ETF Application
https://t.co/1AkutGGqmr
2021-07-27 Goldman vs Solactive ETF constituents

#defi

https://t.co/AtccWBAo0E
2021-07-26 Compose is a machine learning tool for automated prediction engineering

GitHub:
https://t.co/Zj7eOH1pIX

Blog Post:
https://t.co/Cg4mk7J20E

#evalml #featuretools #composeml #ml https://t.co/RiLu9hT1Ih
2021-07-26 Deep Mind’s Perceiver model tries to decouple the architecture of the network from the data it processes to process signals simultaneously (not just sequenced priors)

#ml neural net inspired from biological nets

Article:
https://t.co/8U6PaeLCaB

Paper:
https://t.co/6yrtsE2jDG https://t.co/5OoCBelGy6
2021-07-26 Bayesian stock price prediction - paper

https://t.co/RO7htvn1gP https://t.co/xqmKI1ZOQC
2021-07-25 Time zones:
99% of the non-polar regions for timezones and countries, as well as 98% for (first level) country subdivisions

QGIS Python:
https://t.co/dgv1Mbba2K

Blog Post:
https://t.co/fjFPIlekhI

ISO 3166 Polygons
https://t.co/SAXO7cy3MZ https://t.co/R4kik31caq
2021-07-24 Apple’s Trinity - no code #automl based on TensorFlow framework and useful for spatio-temporal and complex feature engineering.

Paper:
https://t.co/ZeScuZ1JHs

Background:
https://t.co/Z3fzTHNgE6

Article:
https://t.co/mJkp0FqzDD
2021-07-24 Bitcoin volatility dynamics as spillovers across crypto exchanges

https://t.co/RmvDoZr6Rk

$BTC #Binance #Coinbase https://t.co/bIshJGe1rd
2021-07-24 Bitcoin and other liquid Crypto volatility dynamics - xGARCH models - paper

https://t.co/fReoODEvN4
2021-07-24 Corporate Bonds #TCA Paper

https://t.co/CmRVPx7gKZ https://t.co/WcCIfTvwh5
2021-07-24 German Bonds - liquidity measures

https://t.co/qfSazMcYxW https://t.co/UHZiaqoFgI
2021-07-24 Asymmetric liquidity in corporate bonds - paper, liquidity measures commonality, principal components and empirical inferences

https://t.co/29RQY2nGj0 https://t.co/2ETxZrZ2QC
2021-07-24 Paper on Bond ETF Arbitrage (along with the impact of leverage on arbitrage dynamics and liquidity)

https://t.co/XOUH5dUHbv https://t.co/bulk69Gp4b
2021-07-24 Clustering structure of market microstructure measures collected at 10 second intervals - spread, volatility and other metrics - dendrogram #dataviz paper

https://t.co/bpRMCZXW0z https://t.co/0yu4NapuJC
2021-07-24 @ltabb Yes Larry, very limited retrospective of 2019 HFT exploration of CAD/US cross-currency stock arbitrage - inherently not risk-less, and not profitable unless on bigger scale with other low-information flows or synergies helping aggregate economics.
2021-07-22 Dynamics in high-frequency arbitrage - paper

https://t.co/NNLcCppF9M https://t.co/Yh2wbCzTc0
2021-07-22 NLP on 10Ks for Stock Alpha Signal generation

“Alpha factors… do not display monotonicity in quantiles of factor returns. The sentiment word litigous achieved the highest Sharpe ratio at 2.23."

Python GitHub:
https://t.co/2ummWsgbnW
2021-07-22 Automating data flow and ML pipelines using Perfect as an alternative to Luigi or Airflow

Python GitHub: https://t.co/iOWewZUrFc

https://t.co/f5nAx5TzSx
2021-07-22 Wired on #DeFi
https://t.co/AOiwiOf9kV
2021-07-22 A very high-performance, Pythonic language for bioinformatics / genomic research (written in c++)

https://t.co/88920fcrlv
2021-07-22 Satellite imagery is currently growing at 80 Terabytes per day. Paper shows a cost-efficient approach to combining satellite imagery with machine learning (SIML) with transforms of each satellite image into a vector of variables - no image storage needed

https://t.co/0LI24ATjQA
2021-07-22 @lightspringfox Good thread on

Crypto exchange derivative stylized facts and market maker dynamics
2021-07-21 WikiGraphs- knowledge graphs of Wikipedia entries

Pdf:
https://t.co/H341KhaRss

GitHub:
https://t.co/1nGoiFqift https://t.co/cCSULAfExQ
2021-07-21 Paper on prediction of bond liquidity

Includes trade size-adjusted liquidity measure

https://t.co/Pxmr4jQ7Pt https://t.co/P5G44HVHbr
2021-07-21 Twitter features for stock prediction and embedded Python code - paper

https://t.co/xSoeWrH0u0 https://t.co/dcOogafYx2
2021-07-21 DeFi Risks - Paper explores the various contours of risk - e.g.:

- protocols
- validator cartels
- leverage
- smart-contract bugs

https://t.co/v7GZbvbjvN https://t.co/b9fPXfoBPW
2021-07-21 Bitcoin $BTC as a portfolio diversifier analyzed in this paper under several portfolio optimization scenarios
https://t.co/wXSO55AATR https://t.co/bjR2xEZvMk
2021-07-20 Gradio is a new tool to build quick user interfaces for ML pipelines
https://t.co/yBxHlg6zFx https://t.co/hwUwo7XryH
2021-07-20 Not your fathers forecasting method:

Time series forecasting competitions like M3 and M4 have spawned interest in temporal boosting methods, theta curves, bagging, and other extensions to classical univariate methods.

Paper: https://t.co/Nv7522AAFY https://t.co/AY2j06DIiP
2021-07-19 Network analysis of ARK funds with Python code

Article:
https://t.co/95JUh2zZSg

#DataViz
https://t.co/93AoMg7TpB

Python gist:
https://t.co/ATWqp1YXWd https://t.co/ZmYpGyrXrC
2021-07-19 Twitter sentiment analysis on stocks - paper on basics with embedded Python / Keras code featuring Recurrent Neural Network (RNN) using Long Short Term Memory (LSTM) models

https://t.co/hTFLCBGmnV https://t.co/GJxqzOqBcI
2021-07-18 “a venture-backed seed-stage startup has an estimated 1 in 40 shot—or 2.5% chance—of becoming a unicorn today."
https://t.co/sqHEPNKvkO https://t.co/jfWTdmMx3g
2021-07-17 Simple, for the un-initiated, a 3-feature LSTM and Random Forest model implementations for intraday and next day stock prediction (with transaction cost estimate)

Paper:
https://t.co/v4WGhswr50

Python Github:
https://t.co/rLc4Evasj7

Keras, CuDNNLSTM,
2021-07-17 Implementation of the Recurrent Implicit Quantile Networks (RIQNs) for time-series prediction and anomaly detection (out of distribution)

Paper:
https://t.co/yTl3DFHGis

Python Github:
https://t.co/4RgOigvdQb

Sklearn, Gym, Pytorch
2021-07-17 Intraday Bitcoin Dynamics - price, returns, seasonality, volatility…

https://t.co/wYqnWtd3eo

$BTC https://t.co/OCQcqVi7Jl
2021-07-16 The Barrier of Meaning in #AI
https://t.co/qveByCKRtx
2021-07-16 Excellent new NBER paper on high-frequency trading impact on speed & trading costs

“market designs that eliminate latency arbitrage would reduce the market’s cost of liquidity by 17%….on the order of $5 billion per year in global equity markets alone."

https://t.co/somqkB6cKj https://t.co/ChzybjdxuT
2021-07-16 Easley, O’Hara and a coterie of others pen this paper on stock information flows and compare with FAMA factors and related variables: VPIN, volume, information-variance, news article volume, volatile and Amihud illiquidity
https://t.co/MW26GdbgtF https://t.co/Ddcjltqo0N
2021-07-15 Bond Liquidity - size adjusted, beta-liquidity, transaction costs - paper

https://t.co/Cr6Z7Omhd6 https://t.co/kDzIO6cUpq
2021-07-15 Trading stocks around the open and close - empirical analysis

https://t.co/ZOZrn2d0h7 https://t.co/ys5WVIyhpa
2021-07-13 Natural Language Processing: Good intro to #NLP and #NLG - and recent development of Google’s trillion parameter Switch Transformer models https://t.co/iEY1YIeIVL
2021-07-13 Using Gramian Angular Fields to encode time-series as images

Python GitHub:
https://t.co/nDW4MHAn2n

Paper:
https://t.co/fKT5UImSvS https://t.co/QcDwD3ieYV
2021-07-13 Econometric analysis of COVID-19 volatility impact on S&P500 and FAANG and FATANG big techs - paper

https://t.co/RdrjcBJ9jn https://t.co/EHEKReLaF8
2021-07-13 Dissertation on High-frequency Electricity Trading:

https://t.co/8H7awWiWwa
2021-07-12 Timeseries classification with TensorFlow, Keras and a Transformer model
https://t.co/qSvOrMlobX
2021-07-12 @daraladje And in #DeFi and in a traditional capital markets pivot, it is not hard to imagine how GPTxx could be part of a new collaborative paradigm for institutional participants.
2021-07-10 Collection of papers on volatility estimation

https://t.co/9Le1S2sVik
2021-07-10 Tutorial on time series models in Python

https://t.co/rMHzZz5UJP
2021-07-09 A cheeky perspective on #MLOps - and some of the key startups
https://t.co/Ln74kw86Hj https://t.co/vxnNHTooIg
2021-07-09 New Paper on Codex, a GPT language model fine tuned on publicly available code from GitHub, and it’s Python code-writing capabilities.

https://t.co/hpsZHmDcpw

#NLP #NLG #OpenAI #AI https://t.co/K2OZfD1QS3
2021-07-08 And this Python neural net library using LSTM to predict tick direction

https://t.co/akrqNEKJ6U
2021-07-07 Python pipeline generator of #ML LLVM bytecode for higher performance
https://t.co/KWQ3vHE4tP
2021-07-07 This Paper expands a bit on classical tick / trade classification rules for Bitcoin

https://t.co/8S83pQf3j2 https://t.co/hyS3s1qBOn
2021-07-07 DAO based DeFi Index(es) gets funding boost from Galaxy Digital
https://t.co/AAfXdjyvA3
2021-07-07 Ode to Hyperparameter Sweeps in a Jupyter / Colab Notebook
https://t.co/RPnBA8pRVs https://t.co/GrmpzprEfA
2021-07-07 And related 2020 paper by Jurkatis for full-information trade classification that uses quote matching:

https://t.co/mElgDUrzsz
2021-07-07 Stock Trade Classification Algorithms in Python

• Lee and Ready, 1991
• Bvc - Easley, et al., 2012
• Ellis et al. (2000),
• Chakrabarty et al. (2007)
• Jurkatis (2020)

Also, order imbalance and transaction cost estimator

https://t.co/eGN4CAYdga

h/t @macro_srsv
2021-07-06 DeFi Blockchains for Bonds?!

FT Article:
https://t.co/I4m8eH5sjQ

Report:
https://t.co/UXH903eczo https://t.co/odTAllYQce
2021-07-06 Jupyitelite - Jupyter notebooks running Python code in a browser using wasm and NO Python servers

https://t.co/MzdIRJyXDf
2021-07-06 Article discusses post trade processing on blockchains

https://t.co/NfPft8E8ms
2021-07-06 VS Codecompletion extension
- #lowcode (using Huggingface) https://t.co/6UiqqUn5Y5
2021-07-06 In FT: The end of ESG factor outperformance?
https://t.co/FAp6NmmQeW https://t.co/165NXUvqPI
2021-07-06 MIT Sloan eSg rethink: social media business models

https://t.co/Thosr14nMO https://t.co/3VUTnuVsGk
2021-07-06 #FOMO #FAIL #REKT

When a DeFi Stablecoin has a one-day bank run. Iron Finance’s Titanium (TITAN) token plummets — from US$64.19 to zero — in a single day.  

https://t.co/fPHpDdLdwO
2021-07-04 ML-Ops Antipatterns - paper

https://t.co/4v5fgM4npF https://t.co/YwcVsiNoi4
2021-07-04 TStorage - time-series in memory / storage written completely in Go language

Blog post:
https://t.co/L0fgKgbamz

Go Github:
https://t.co/AxGgN20Tlb
2021-07-04 MIFIDII impact on European market and index volatility - paper

https://t.co/VaxzfoGprk https://t.co/oB7AHUA0qn
2021-07-04 Python Date arithmetic for financial instrument arithmetic - eg modified following - bizdays

https://t.co/uLYyyCVFEl

And Pandas market calendars for market-specific exchange and OTC holidays and early closes…

https://t.co/PV0yM1lsg0
2021-07-03 SPACs account for 8% of FinTech deal transaction value (albeit, from a tiny base)
https://t.co/8tP7ik30Is https://t.co/S8fT0odst9
2021-07-03 Walled Garden vs Chain Surveillance permissioned #DeFi
https://t.co/dsSyYfE3z2
2021-07-03 Volatility has many forms…
https://t.co/v7rgxY4OEs

#VIX #IV #RV https://t.co/Hgq7R97Vpz
2021-07-03 Paper - seasonal and trend decomposition of a univariate time-series based on Loess (STL)

https://t.co/l7GteHzX3e https://t.co/b9RpFK022i
2021-06-30 Portland Heat Wave Extrema NYT Graphic replicated in R in this Github Gist by @CedScherer

#rstats #dataviz
https://t.co/6ZV23a212O https://t.co/r8rgh5pBnz
2021-06-30 Low code, no code, and now auto(mated) code generation enter our lexicon - a GPT-3 by-product

https://t.co/OcX2ddZBAd

https://t.co/7DVkwE6wm8

https://t.co/YYiHta5NBG
2021-06-29 Paper - using Complex Networks to model markets with high frequency trading

https://t.co/6gu8eM3S6h
2021-06-29 MBSTS - Paper and R Package for implementing general structural time series models, flexibly adding on different time series components, featurizing & fitting them to multivariate correlated time series data

#RStats CRAN:
https://t.co/nxTbtqvcvU

Paper:
https://t.co/49sfDl11lQ https://t.co/Yxj3GRXFwi
2021-06-29 Automating a pipeline along with the TODS Python library to detect outliers in time-series
https://t.co/QwjvjViLhk
2021-06-29 Sometimes a small collection of Jupyter notebooks can be helpful to initiate the technically inclined to the vagaries of financial time series…

https://t.co/yzLN2t9pVF
2021-06-29 fathon is a python package for DFA - Detrended Fluctuation & Cross Correlation Time-Series Analysis

Multifractal
Multifractal Detrended
HT Time-dependent Hurst exponent

Cython Github:
https://t.co/CtiHvl0iHF
2021-06-28 Open Ebook - https://t.co/lAEUmA82Pw
https://t.co/2uz0HVCHiv

R #rstats GitHub:
https://t.co/lAEUmA82Pw https://t.co/qsCKHwLuWI
2021-06-28 Temp: Time-Series utilities on top of Spark

“AS OF joins, rolling statistics with user-specified window lengths, featurization of time series using lagged values, and Delta Lake optimization”

GitHub:
https://t.co/16yPrmoUdx

VWAP and other agg stats:
https://t.co/vFmIAgWrsg
2021-06-28 Paper reviews Python open source time-series libraries

https://t.co/x2TLKTefXa https://t.co/K4w238eqy0
2021-06-27 Synthetic timeseries (aka to mock a time-series) in Python with seasonality and trend dynamics
https://t.co/GrRe1krCRA
2021-06-27 A non-quantitative perspective of Bitcoin liquidity dynamics across trusts and futures proxies of on-chain liquidity

$GBTC $BTC

https://t.co/MVFlNPwhQ7
2021-06-27 StellarGraph is a Python library for machine learning on graphs and networks.

GitHub:
https://t.co/FRQFcFlqTD

Time-series Colab / Jupyter example:
https://t.co/FRQFcFlqTD
2021-06-27 Andreessen on Crypto’s distributed consensus…

https://t.co/jG76hPA2ne
2021-06-27 Sunday is a perfect day to model Similarities of Stock time series…

2020 Paper:
https://t.co/ELtWohqERf

Python Github:
https://t.co/0McTv5t0sG https://t.co/W0W1mLwrG5
2021-06-27 Modeling time series better by focusing on ARIMA residuals with CatBoost and LightBGM (and including categorical variables) in R

#rstats #tidy
https://t.co/pKkKtlGPaG
2021-06-27 Low Code, No Code - multi-part blog analysis

https://t.co/QkDd5HyFEM

https://t.co/hZbM6dFJhQ https://t.co/mREIFfHIua
2021-06-26 DeFi Infrastructure stacks mapped and discussed in this blog post

https://t.co/p7bZHNcbYs

#solana vs #etherium #crypto #defi https://t.co/ysi18sqjRu
2021-06-26 Boston Fed CEO opines on Tether’s disruptive risk to money markets system

#Tether #Crypto

https://t.co/LMyrV06V1Y https://t.co/7GbyDWFwJZ
2021-06-26 The paradox of (startup) genius

https://t.co/sGSI3mFjoO
2021-06-23 On Tokenized Securities
https://t.co/JHcaLk8sKS
2021-06-23 Analysis of Crypto volatility at Covid19 crisis inception using realized volatility based HAR models - paper

Heterogeneous Autoregressive Model

https://t.co/YWXhxyciaL https://t.co/7HphG6Jh7u
2021-06-23 KATS for Time Series
https://t.co/3NNEvcKE2w

Python GitHub Repo:
https://t.co/n9bb8ZQ86L

#automl #ml #timeseries https://t.co/x9wZHM6hiu
2021-06-23 Time Series Patterns - AmplitudeBasedLabeller and Hawkes

Python GitHub:
https://t.co/ptSNIagXa1

Jupyter:
https://t.co/t17fq8UqgY https://t.co/RpHIsftb9o
2021-06-23 Marc Andreessen opines on future of Venture Capital and Tech innovation

https://t.co/WvOjuFudTy
2021-06-23 NLP and NLU Python streamlit examples…

https://t.co/94BYSnAHQK https://t.co/lHm4fJpcih
2021-06-23 Bitcoin, Blockchain and Jupyter Python

https://t.co/Ll44sh6CUQ OR

https://t.co/pXdDbKesq1 https://t.co/AStvG2kNyd
2021-06-22 @cgledhill I remember in the early 80’s before PKZIP we also had ARC, LHARC and PKARC (and ZOO)
2021-06-21 FT Retrospective on meme-ification of the stonks and crypto markets
https://t.co/HYccUrLAWK https://t.co/y8jnHPP1N8
2021-06-18 102 Stock Anomalies analyzed…

App / Web Site:
https://t.co/ChQk5PFqrx

Paper:
https://t.co/cwmIKCPpiz

Data (alas, no GitHub yet):
https://t.co/ymuwwKonSs

#alpha https://t.co/D4QcUadDWx
2021-06-18 Hmmm.
Dystopian Affective Computing?

https://t.co/RW3g7D3nlt https://t.co/oCBKZNVuFj
2021-06-18 Facebook open sources AugLy a data augmentation tool for machine learning model building in a world where #ml opportunities are increasingly multi-modal: text, video, audio and image

https://t.co/B4QXe94DeB

Python GitHub:
https://t.co/z1pGkqVist

Colab:
https://t.co/3Kg0ZHE2JS https://t.co/fiYSIIAVJN
2021-06-16 Large pre-trained language models are the focus of this paper
https://t.co/09qAMdkjXA

#NLP https://t.co/gM6vostwle
2021-06-16 Cryptocurrency factor model with a mispricing factor under almost stochastic dominance - paper

https://t.co/xmvaGkSrNW https://t.co/kGhqPnGS5c
2021-06-15 Ode to OCaml

https://t.co/x7uhJ1DFN3
2021-06-14 Optimal deep learning based trading using convolutional transformers - paper

https://t.co/p9wsm48tZA https://t.co/4sOgYvHxXY
2021-06-13 Encoding structural conformation within a (knowledge) graph is the focus of Graphformer a Microsoft Research Github project: https://t.co/YKzHBCYvFu

And paper:
https://t.co/qpWylXwILd https://t.co/iuP1RTmR4k
2021-06-13 EleutherAI’s 6 Billion parameter Transformer and DeepMind’s Jax based GPT-J model for NLP tasks is open-source and has a far more permissive license than GPT-3

https://t.co/pr2E9SOlYX

Trained on ‘The Pile’
https://t.co/ekB0yk8Wky

GitHub:
https://t.co/xYKd5QXXLk
2021-06-13 DeepLOB Paper (2018)
https://t.co/UPxk7ssiCO

Jupyter Notebook:
https://t.co/a7gvuawYEa
2021-06-13 Market by Order (MBO) data for predictive modelling with deep learning algorithms.

#lob #hft

https://t.co/UvFMqOBPbw https://t.co/DIrdPVh3xI
2021-06-12 Dissertation on optimizing market structure to mitigate manipulation and products like synthetic combinatorial financial options and prediction and synthetic markets

https://t.co/gcudSGskKO
2021-06-12 Blog post on an algorithmic trading platform
https://t.co/LNhnOMeIdc
2021-06-11 Perspectives on startup valuation and how discounted cashflows factor (or not factor) in…
https://t.co/b3ggSNbel7
2021-06-11 Paper compares xgboost with deep learning and ensembles of both on Tabular Data #ml

https://t.co/I2RQeif9uQ
2021-06-10 Deep reinforcement learning extending LSTM for trading non-stationary FX markets using intraday data and modeling transaction costs - paper

https://t.co/r4ytrE87YU
2021-06-10 Structural model of high frequency price pressure in stocks - paper

#hft #lob

https://t.co/Mn8i5DQ5kj
2021-06-10 AmpliGraph’s machine learning models generate knowledge graph embeddings, vector representations of concepts in a metric space based on TensorFlow

Python GitHub:
https://t.co/sBdGBTxzM0

#KG #ml https://t.co/KPrsnh6CpS
2021-06-09 Containers for analytics, trading and other high value content have cybersecurity threats and tradeoffs

https://t.co/z8AWAjCG7j https://t.co/TVrLf4pcjZ
2021-06-09 IdeasAI - a GPT-3-powered business idea generator with no human in the loop.

https://t.co/EqQ4Tl34dO
2021-06-09 Trading_Gym is a unified environment for supervised learning and reinforcement learning on top of reinforcement learning concepts framework.

Python Github:
https://t.co/x6Ngl2l5ce

Risk parity example:
https://t.co/bCuHKtTSvK
2021-06-08 Oxford research around multi-period prediction based on limit order book model features using deep learning on special acceleration hardware - Graphcore IPUs #lob #hft

Paper: https://t.co/3SnWludcmz
2021-06-08 ForecastML for multi-stage ensemble forecasting in R

#rstats Github:
https://t.co/hr03GM9c3n https://t.co/PwRdRT8VE7
2021-06-08 On the exponential growth of TinyML

https://t.co/0t8DlXOWaX https://t.co/W9QyJe8oNu
2021-06-08 Article on Graph Neural Networks #GNN (and over-smoothing mitigation)
https://t.co/5viqZEem2r https://t.co/WGJYBzVgmf
2021-06-07 On Uniswap optimal fee - crypto market microstructure analysis
https://t.co/zqgnTxcQl8
2021-06-07 Deep Reinforcement Learning for Stocks

Paper:
https://t.co/8p2S9ST20x https://t.co/fhX2QL1pyb
2021-06-06 Timeserio for time-series deep learning pipelines based on Pandas dataframes

Doc:
https://t.co/knxeE2FU0q

Python Github:
https://t.co/d7H2XcYJL0

Examples:
https://t.co/d7H2XcYJL0

https://t.co/xMzeq29xy1
2021-06-06 Structural break and GMM fit tests for anomalous regime changes in stocks in R #rstats

https://t.co/MQEQqRbXEu
2021-06-05 Example of GreyKite prediction implementation using FRED time series data

https://t.co/ej7PezXJLf
2021-06-05 Granger causality networks in multivariate time series using deep learning

Python GitHub:
https://t.co/bWcSTyNO8Q

(2018) Paper:
https://t.co/Fv0Ynfava1

#ml
2021-06-05 Deep learning primitive code generator and compiler / DSL

Language docs:
https://t.co/mOCpFW8lXp

Jupyter notebook examples:
https://t.co/b70dzX2et6

Python GitHub:
https://t.co/BSHtfyH8TS

(2019) Paper:
https://t.co/cLVYbfdrcW
2021-06-03 @RetirementQuant OLS is the perfect place to start the journey! Applying feature transforms on some of the independent variables sometimes improves fit and is a good segue way to automated feature engineering, activation functions and non-linear machine learning approaches.
2021-06-03 Differentially private #DP synthetic data generation with Unform, Bayesian and other methods

Python GitHub:
https://t.co/gfnRk9qbYF

#syntheticdata https://t.co/mHs4WcJNOL
2021-06-03 Automated Feature Engineering (creates many non-linear transformations) for classification and regression

Paper:
https://t.co/JdE9J3bMUC

Python Github:
https://t.co/tsYWPGV6si

Jupyter / Python Example:
https://t.co/aVwyohlyP9

#automl https://t.co/IOXjWd1dp2
2021-05-31 TSE Stock Index Futures - new Co-location Dataset used to model Realized Volatility

#HAR

https://t.co/UvRrrEwOAg https://t.co/YzLWRPZSIh
2021-05-31 Reinforcement learning and continuous buying/selling applied to algorithmic trading of stock shares in China - paper

https://t.co/wjAGKAA1Go https://t.co/McfBAeYPMO
2021-05-30 Frameworks over forecasts and flow and other cross-asset strategy idioms
https://t.co/5TZgRqosya
2021-05-30 Using SABR analytical formulas to avoid replication in computing convexity adjustments in fixed income derivatives - (2020) paper
https://t.co/rHcaUESqLO https://t.co/dpQQ4zc2F9
2021-05-29 An event-driven trading strategy based on corporate event detection from news articles. In particular, a bi-level event detection model that utilizes global and local information to identifies corporate events is the focus in this paper.

https://t.co/pDtVsixU5O https://t.co/JNlCWPJsxw
2021-05-28 Differential Machine Learning for computing financial derivatives faster - using TensorFlow

Paper:
https://t.co/Z4aOTM8ptO

GitHub Jupyter Notebooks:
https://t.co/UmAvKwH9y5 https://t.co/fbjRq3Y0Ra
2021-05-28 NocoDB - a new open-source AirTable spreadsheet workalike for data bases

https://t.co/XX5QC6kzBT https://t.co/6hv42PQO8V
2021-05-28 MindsDB - explainable, low-code #AutoML based on PyTorch

https://t.co/WOd35kp8uP

#Python https://t.co/E3jDm1oqye
2021-05-28 @micahjay1 Perspectives on Tech Product Manager DNA - excellent thread by @micahjay1
2021-05-27 Re: TensorFlow Decision Forests #ml
https://t.co/slwAZ3Mdfi
2021-05-27 On Factor Momentum:
https://t.co/BGVTnN5lmY
2021-05-27 Knowledge Graphs #KG

Python Github for kglab:
https://t.co/2zlK2YhCzf

Examples:
https://t.co/8kCLqFbnc0
2021-05-27 Provocative BIS Report
‘The Digitilization of Money’

Unbundling and Rebundling of Payments

https://t.co/H9yXJlW3Xr

#DeFi #Banking #FinTech https://t.co/W3wKnpgazS
2021-05-27 Quantum Computing Algorithm developed by IBM and Barclays applied to Trade Settlement Optimization

#QUBO

https://t.co/tiR1WLrUJj https://t.co/xZEfzEiUEs
2021-05-27 #Affective emotion monitoring and data science based research by Microsoft has profound #privacy and virtual #TEAMS meeting efficacy implications
https://t.co/yAgHZcQriZ https://t.co/piFML4gLU2
2021-05-27 @mbostock opines on the ascending power of Javascript for analytics and visualizations - including open-source Arrow, Arquero, tidy.js, Observable Plot and Vega-Lite

#dataviz
https://t.co/hFVrtxjrNL
2021-05-27 Tsmoothie - A python library for time-series smoothing and outlier detection

https://t.co/IGo2rDbRvr https://t.co/uBBifmnQim
2021-05-27 tsai is an open-source deep learning for time-series package built on top of Pytorch & Fastai with prediction dynamics visualization

https://t.co/J3JOKLJFP8

#Python https://t.co/ov2Vj4GPNV
2021-05-25 Paper on Tick Rule Trade Classification applied to Bitcoin

https://t.co/uM7RwTc0RH https://t.co/VePo43nMvG
2021-05-24 Time series trend analysis in Python with PyTrendSeries

https://t.co/GoE766fY5b
2021-05-23 Re: ‘Instability Coins’
#crypto #tether
https://t.co/S1HVXTH3GT
2021-05-23 Mdpi paper on predicting NBA game outcomes

https://t.co/t0q23mTnB6 https://t.co/iisJ3AEY3j
2021-05-22 Simple pairs trading algorithm article with embedded python code:
https://t.co/7eiRS2wdn1
2021-05-22 Similarity measures in machine learning - 17 types
https://t.co/nFn55xzbfV
2021-05-22 Saturday’s are for synthetic data

Time-series synthetic data article
https://t.co/0xtqLmI3Qh

Google Colab Notebook (alas, requires Gretl Cloud key)
https://t.co/5BULlqZc2g

Or GitHub Python Gist
https://t.co/pyurkIPqzF
2021-05-22 Article discusses Google research effort to convert knowledge grahs #KG using natural language generation of data into text

#NLP #NLG

Blog post: https://t.co/twjRvSMHMQ

Paper:
https://t.co/SfuGgp4JtV

Data:
https://t.co/cvRy9Fx0e7
2021-05-22 A variational autoencoder (VAE) is a deep neural system that can be used to generate synthetic data. This article provides a foundation for understanding VAEs with example code:

#syntheticdata

https://t.co/tREOUPgk9T
2021-05-22 “…when data is scarce, synthetic data can be used to replace the held out validation set, thus allowing to train on a larger dataset."
https://t.co/phF7P83IYp

#syntheticdata
2021-05-22 Synthetic Data use cases
https://t.co/qRD7sJ4hLp
2021-05-22 Orbit =
Object-ORiented 
BayesIan 
Time Series

Blog post:
https://t.co/kXImIMQwGd

Python Github:
https://t.co/EAbOkwFoKt https://t.co/xVNSyEqG51
2021-05-22 “Market participants and policymakers currently underestimate potential liquidity risks, generated by MTFs… the introduction of MTFs is associated with stronger network-wide liquidity co-movements, thus facilitating propagation of liquidity shocks”

https://t.co/rKW2RcIw8X
2021-05-22 Jupyter Python Notebook Code for a Bachelier implied volatility grid for a given strike and expiry of the option for Bermudan Swaptions

https://t.co/vfHMRFg48n

2019 related paper: consistent neural network based calibration for volatility models

https://t.co/fPWZDFfDt0 https://t.co/MHLaE8TBv3
2021-05-19 ARCH time-series modeling
#volatility

Python GitHub:
https://t.co/58I2FYFhBn

Jupyter Python Notebook:
https://t.co/nCwguHYyMP https://t.co/DnmKSsHq9u
2021-05-19 FCA Paper on Cash Equities Liquidity post COVID-19 on LSE
#TCA

https://t.co/PxajNfNGPp https://t.co/nXfCOW1iAj
2021-05-19 (Missing) Link to Paper:
https://t.co/dbJltsCkVx
2021-05-19 Paper:
Exponential Kernels with Latency in Hawkes Processes: Applications in Finance by @MarcosCarreira

Python Github:
https://t.co/M615VCHRnK

#lob #hft https://t.co/sOnlpPl2H5
2021-05-19 Basics of Institutional Trading of Crypto

https://t.co/4vVBpFWYjm
2021-05-19 OpenFinance perspectives
https://t.co/pTkGGVlRpa https://t.co/o6SKEYb9CQ
2021-05-18 Economic policy uncertainty #EPU and impact on cryptocurrency market - paper

https://t.co/9dVjqRjBSa https://t.co/glNrU3nuau
2021-05-18 Paper models cryptocurrency herding differences during bull and bear market regimes

https://t.co/9dVjqRjBSa https://t.co/xPv3YpLp1C
2021-05-18 Paper models stealthiness of institutional micro-order placement / trading in FX markets

https://t.co/c1bdPpEZsd https://t.co/LzYBYRylzQ
2021-05-18 Agent based discrete event simulation ABIDES for synthetic generation of limit order books vs algorithmic trading paper - reinforcement #ml, double deep Q,

https://t.co/Rkfm8elq1O https://t.co/tFAW30jWAT
2021-05-18 Survey of machine learning developments in algorithmic trading with links to relevant papers - GANs, Multi-Agent, Deep Hedging…

https://t.co/wdh1oczQWW
2021-05-16 FT on Tether, Stablecoin valuation risk
https://t.co/G682edYSRq
2021-05-15 Neuro-symbolic framework for distilling interpretable theories out of streams of raw, unprocessed sensory experience. 

‘Raw Data’
https://t.co/dDpfR0vYaf
2021-05-14 LinkedIn open sources GreyKite - interpretable components; produces robust results; has automatic changepoint detection for trend and seasonality

time-series

Engineering Post:
https://t.co/KKxWHsi9Dd

Python Github:
https://t.co/EWSoddyIdG

Paper:
https://t.co/3qSwXAqnxT https://t.co/M5RjImNlPI
2021-05-12 Low-code, no parametrization brute-force regression and classification #ml modeling

https://t.co/G1dnLZ2lWL https://t.co/PZafXQWYBs
2021-05-12 Neural Rough CDEs for time-series
https://t.co/ZWtoZVCyAI https://t.co/Omb3FFAwiu
2021-05-12 Bid/Ask Spread dynamics of M&A stocks

https://t.co/P5pLhFF4tq https://t.co/VfHZWrbo9s
2021-05-11 The Challenge in Quantifying NBA Defense…
https://t.co/ieiDRSastC
2021-05-10 Bitcoin mining visualization

https://t.co/ETyGkqAAnz

#dataviz
2021-05-10 Equity based Market Depth - #EMD stock #flow volume indicator - paper

https://t.co/WhqvONxJ9Y https://t.co/PGhsbegU4n
2021-05-08 AI applied to #Covid19 prediction and mitigation

Paper:
https://t.co/vebS1fakmB

Clairvoyance #AutoMl for Medical Time-Series prediction
https://t.co/OQnuF61kJI

#Python #ML https://t.co/HpCbKKJfth
2021-05-08 Time-series #prediction based on PyTorch with DeepAR, (Multi) Attention, Transformers and GRU support and model interoperability. Also includes cloud provider integration + model serving capabilities. 

https://t.co/Qn8VPMwZHx

Flows:
https://t.co/7mYrTUnopS

#Python #ml https://t.co/SHgPk2pdqM
2021-05-08 Goldman’s Crypto Desk goes live

https://t.co/vPMvcUO3lq
2021-05-08 Insight on Data / Analytics Stacks

https://t.co/msbgrSgFNT
2021-05-08 Python EDA for #DeFi Graph Liquidity Protocol for Aave and Compound user segments
https://t.co/KU2apEeqPT
2021-05-08 #AI / Code Generation using Transformers

https://t.co/Om1HtjXYg9

More on Transformers
https://t.co/Pvt4mtKimw
2021-05-02 Dissertation on Liquidity in Financial Markets - Corporate Bonds, Stocks

https://t.co/UbYVVXj14J https://t.co/jQnzIERbLy
2021-05-02 Blog post describes modelling invariance so as to suppress unimportant or distracting features and improve overall machine-learning performance.

https://t.co/tB6W2KceVy https://t.co/h2emOVmLwW
2021-05-02 Ensemble Factor Model Explained
https://t.co/uTp1geraIm
2021-05-02 Sunday’s are for Synthetic Data:

Value propositions for synthetic data explored in this blog post
https://t.co/qRD7sJ4hLp https://t.co/cXdVuonqFN
2021-05-02 The NewYorker on Kafka, GPT-3 and the ascent of synthetic literature and style generation
https://t.co/vI9Jma4vi1
2021-05-02 Synthetic Tabular and Time-Series Data Generator using TensorFlow

Synthetic Stock Generator - Jupyter Notebook:
https://t.co/CWoP0eOdqt

YDataAi Python Github:
https://t.co/OvFfzFLGUw

YDataAi:
https://t.co/BeCfKLF9cO https://t.co/TUVfXELf6w
2021-05-01 Gradient Methods - visual deep dive

Momentum, AdaGrad, RMSProp, Adam…

https://t.co/jmSMzhpwwI
2021-05-01 Google is rethinking fixed offices using inflatable walls and reconfigurable seating

https://t.co/6Fmh3Sjke1
2021-05-01 Ruptures for change-point detection in time series using Python

https://t.co/vmpdrcEq0z

Paper:
https://t.co/7wArJbeUMO https://t.co/4Up8eLphmO
2021-05-01 Change-point detection in high dimensional time-series

Paper:
https://t.co/dI3Gq7vHp4

#Rstats R code:
https://t.co/3794DkHzIF
2021-05-01 TsBNgen is a Python package to generate time series data based on an arbitrary Bayesian Network Structures.

Short Paper:
https://t.co/eKgMKZ755d

GitHub with Python Source:
https://t.co/Z8b8hbajsN

Documentation:
https://t.co/d2ctYAMEb6
2021-04-29 Goldman believes Quantum is five years away from mainstream finance use-cases including 1,000 fold improvement in MontCarlos

FT Article / QC Ware mention:
https://t.co/3I0vudtuaq

Linked research paper:
https://t.co/wFk8bvSEv6
2021-04-28 Forbes list of promising #AI Startups to watch
https://t.co/5qzRHBTyqj
2021-04-27 Paper models spillover, inpulse-response and crash risk between US and China stock markets (using TVP-VAR)

https://t.co/qjW5b1N3a9
2021-04-27 New post-pandemic future-of-work report by @McKinsey
https://t.co/oddl5ioXHq https://t.co/Cr33Dmjj19
2021-04-27 Standard Initial Margin Model (SIMM)

Acadiasoft open source implementation in Java:
https://t.co/4Zxnp1Wtd2

ISDA Spec:
https://t.co/ZkJreCaTfA
2021-04-27 Categorical correlation, correlation ratio, Theil U and other data associations

Article:
https://t.co/bI4sN0I3g7

Data -python = Dython library:
https://t.co/8EZMwxIZ9G

Python GitHub:
https://t.co/7UrzDk1Nmw https://t.co/mJeYa41f57
2021-04-26 ESG Premium Stock - analysis in FT
https://t.co/h0j1OuHIDN
2021-04-26 CEO of Paypal opines on contextual commerce, super-apps, crypto and Defi
https://t.co/0uUWamlTTV
2021-04-26 @JaySinh68681549 ‘assumption that the noise in the time series is uncorrelated and Gaussian in nature, with zero mean and unit variance.’
2021-04-26 Encode a time-series as an SDE (stochastic dynamical equation)

Python GitHub:
https://t.co/LTHjgGhJkI https://t.co/FmiBuq0ZD6
2021-04-26 Multifractal Detrended Fluctuation Analysis MFDFA is a model-independent method to uncover the self-similarity of a stochastic process or auto-regressive behavior in time-series

MF-DFA Stock-Index Model Paper
https://t.co/hBg2Fc5d7M

Python GitHub:
https://t.co/u48J878Qh0 https://t.co/5GbbrL2wuq
2021-04-26 K-Means Clustering of Stocks based on financial ratios

Paper (2020)
https://t.co/XnyLCAnBhe

Python GitHub:
https://t.co/6HiQVYgyd0
2021-04-25 Efficient,
no Adaptive,
no Fractal
no…
Complex
Markets
Hypothesis

https://t.co/G3wmNYly5J
2021-04-25 Anomaly detection in Bitcoin price time-series using RNN regressor + RNN Autoencoder on Kaggle minute bar-data (2012-2020) (poor results, but method may offer more promise on other data sets).

https://t.co/UkIqrVqg19
2021-04-25 TimeSeries-GAN or TSGAN, generates realistic synthetic time series data from a sampled noise data using 1-D convolutional neural networks (CNNs) were used in the generator and discriminator

Python / Keras Github
https://t.co/Y5RM5vE5FU
2021-04-25 Autoencoding in Python code to identify anomalies in images

https://t.co/Yj6LhWYIhf https://t.co/XhSqoh4QF6
2021-04-24 Thodex - $2Bn Turkish Crypto Exchange Heist-and-Run

https://t.co/3ioAu760kb
2021-04-24 Factor expressions (S-expressions) for high performance quantitative trading applications (written in Rust) with Python library interface

https://t.co/JE7Bdu61qO

More on S-expressions
https://t.co/adLDGF2HID
2021-04-23 ETF Liquidity Commonality related risks in emerging Asian markets - paper

https://t.co/YCRI7iYhAe https://t.co/Djl95RuqCw
2021-04-23 Block chain considers a public listing
https://t.co/KzavaiBkEp

While planning to expand to list stocks on its DeFi platform
https://t.co/zfyN4MVA1N
2021-04-23 FT on the dark-side of crypto mining
https://t.co/vqJ9Js1FM3
2021-04-23 Distributed DAG computation framework for Python that abstracts Pandas, Spark and Dask.

https://t.co/nYOrUd3a7Q
2021-04-22 FT on Quant Spring?!
https://t.co/HrQnDGoCws https://t.co/PW8wJqrVvZ
2021-04-22 Basics of Gaussian Mixture Models and #NFL Player Tiering

https://t.co/YmXwd3SjRF
2021-04-22 Kalman Filter (KF) applied here in this paper to optimally estimate dynamic beta where measurement noise covariance and state noise covariance are assumed to be known in a state-space framework.

https://t.co/EAh7hIx7F6
2021-04-22 Simple, but dynamic #ml digital asset trading model discussed in this paper

https://t.co/Qf9dKhsZQr

#Crypto #BTC #ETH #features https://t.co/f2nLEABDSD
2021-04-22 Information shocks and stock trading volume - paper

https://t.co/befrXfzM8G https://t.co/fTJOCGYF5n
2021-04-22 Hedge fund performance and linkage to family ties - paper

#tigercubs

https://t.co/PLmb2WetX0 https://t.co/Nuhv7zJXG4
2021-04-22 Crypto / digital asset service providers profiled globally in this BIS report

https://t.co/IMFAPhvqyw https://t.co/rttHYHvgGN
2021-04-22 Market intraday momentum linkage to gamma hedging demand across markets - empirical paper

https://t.co/bCNQWHqZjC https://t.co/YHhtVLMSdp
2021-04-22 Global stock index performance linkage to national COVID policy responses…

https://t.co/12vKK7Owd8 https://t.co/ZZNEBTUzjX
2021-04-22 Machine learning models can de dockerized…

https://t.co/61v3kfc9Sm
2021-04-22 mbrl-lib is Facebook’s contribution to Python open-source for Model-Based Reinforcement Learning algorithms

https://t.co/dVSMR0hb7E

#ml https://t.co/yKEXJghLft
2021-04-20 Data_describe is an open source Python based EDA tool

https://t.co/eGxZYewjg5

Tutorial:
https://t.co/A5A5aaJwfB https://t.co/IIGmHVkd0b
2021-04-20 Blockchain interactive #dataviz

https://t.co/tqXR7VCj8t https://t.co/2xSo8LNC3R
2021-04-20 Crypto correlations, covariances and portfolio considerations - paper

https://t.co/ydzubhzvGT https://t.co/P2etM6Mriq
2021-04-20 Identity Inference using blockchain / graph-based neural nets

https://t.co/hQAluukwxM https://t.co/kOdYw0tpe5
2021-04-20 Rolling ETF liquidity spillovers - paper

https://t.co/hQAluukwxM https://t.co/cTLIFOIIIK
2021-04-20 BIS report on Bond ETF Arbitrage - redemption and creation basket differences

https://t.co/SNPTKMMN8F https://t.co/qLav3272b8
2021-04-15 Bitcoin Dashboard in R
#rstats

https://t.co/5MYRBPQ4oC https://t.co/T1PqZmk6cV
2021-04-15 Factor rotation value / momentum by @RobinWigg in FT

https://t.co/M47VT81P7I
2021-04-15 R-Charts
https://t.co/2aOFcMkbpR

eg correlation charts
https://t.co/3QFux6W8z2

#rstats
2021-04-15 Semi-covariance for Gold and Stocks paper / excel example discussed

https://t.co/oZDaxo35X6 https://t.co/J2foNNrfKI
2021-04-14 Not conventional wisdom:

“Put simply, blockchain analysis is a highly effective crime fighting and intelligence gathering tool…”

https://t.co/Py1sS67zV0
2021-04-14 Mljar is yet another automl library in Python optimized for tabular data, feature engineering, with explain and compete modes

Article:
https://t.co/4GEnJA5plO

GitHub:
https://t.co/IkZodNpHWP https://t.co/Sg9cuuSVh3
2021-04-14 Hybrid visual and functional meta-language and WebGL IDE with polyglot interoperability with R and Python (albeit 3.4) coded in Java and Scala

#Enso #Rstats

https://t.co/df2nUW5dT9 https://t.co/ch1CfK0VSZ
2021-04-13 Flow forecast is an open-source deep learning for time series prediction. Includes DeepAR, transformers, attention models, and GRU support.

Python GitHub:
https://t.co/7mYrTUnopS
2021-04-13 “In the absence of a hegemonic answer to the question of what money is to us, strangeness reigns. Even as money has been injected with new political vitality, its actual life has become more baroque.”

#NFT #Spac #Crypto and Degenerative Finance?

https://t.co/pXcb3rLQg9 https://t.co/P6pkahJYbV
2021-04-13 WATTNet: Analysis of trading FX with Hierarchical Spatio-Temporal Representations of Highly Multivariate Time Series, a new temporal convolution model applied to NDF markets

Article:
https://t.co/GvbnKFyaKq

Python source:
https://t.co/tof9xGC7ul

Paper:
https://t.co/WkIKthsqgB https://t.co/TVzsKj6G4l
2021-04-13 Analyst features in stock price prediction paper

https://t.co/LAMNtSA6iH https://t.co/0RvZvalWCG
2021-04-12 Bayesian Linear Regression

https://t.co/3WmZNxyYeq https://t.co/tCjfQcxVkh
2021-04-12 Orbit - a Bayesian Exponential Smoothing for time-series prediction

Paper:
https://t.co/aSMJV9kV5j

Python GitHub:
https://t.co/EAbOkwFoKt https://t.co/SQhdZeKlDu
2021-04-12 Global time-series (vs isolated prediction) model also implemented here in R with a menagerie of tsfeatures #rstats

https://t.co/vF6zfz0oEd https://t.co/QYC4We0lvL
2021-04-12 Clustered Ensemble Global Forecasting Models (GFM), can traditional univariate forecasting models that work on isolated time-series

Paper:
https://t.co/lLTLTYDUdB

Python GitHub:
https://t.co/chPcFUAnbY https://t.co/gb7gayzyha
2021-04-11 Symbolic streaming time-series anomaly detection - paper
#SAX

https://t.co/CpztPy3YtB https://t.co/fdJmwbAO2a
2021-04-11 Machine Learning in Algorithmic Trading - paper

https://t.co/FEyYXfiTYJ https://t.co/x04gikz0n9
2021-04-11 Quantifying forex randomness #fx

Paper:
https://t.co/P9SknU1Hgm
2021-04-11 DeepSNAP, a Python library to assist efficient deep learning on graphs, supports graph manipulation and pipelines

https://t.co/33fCKKXwFf
2021-04-11 Cubic splines applied to Cryptocurrencies

https://t.co/dP7VkTh9ri https://t.co/BvB4l7hBNC
2021-04-10 Jump contributions for stocks in Shanghai - paper

https://t.co/CdKZN3G8ez https://t.co/IETWJpVv9y
2021-04-10 Updated High Frequency Trading paper with stats on price shocks, order imbalance and pnl effects using (albeit, quite old) Nasadq OMX #hft dataset.

https://t.co/GBgwbtqZwo https://t.co/HIdJr5Yi8w
2021-04-10 So many movies, so many thoughts, so many concerns, so many opportunities…

https://t.co/QZII5rVQ3H
2021-04-10 Short primer on language models, transformers and #NLP
https://t.co/3CegXlybGY
2021-04-10 Cryptocurrency web-scraping implied sector classifications

https://t.co/yUm4J1QDL9 https://t.co/oEYHdpIIqj
2021-04-09 Realized jump betas for Japanese Stocks - paper

https://t.co/YeVKvJJARL https://t.co/ejXDonlQBm
2021-04-09 “Delphi Digital, a digital asset research firm, calculates a Coinbase valuation between $160 billion and $230 billion if the stock can command above-average price multiples."
https://t.co/sQ6wvfTQQ2
2021-04-08 Sometimes technological innovations and open-architectures inspire changes in old workflows.

Here are some thoughts on Jupyter, open-source and at-trade and pre-trade TCA.

https://t.co/WOVGlgSHxF
2021-04-08 NBA Shot Quality Model in Python, Jupyter Notebook

https://t.co/SW6u3L2auN https://t.co/O1woQBbvf7
2021-04-07 We are expanding our team of Pythonistas who Product Manage Trading Analytics, in Gdynia, Poland.

https://t.co/2RyVrpfYIn
2021-04-06 Tokyo Stocks - Realized jump beta is defined as the realization of covariation between market jump return and the contemporaneous asset return divided by market jump returns.

https://t.co/EbcvmBNhuH https://t.co/RPDYg022nx
2021-04-05 Intraday stock market betas stylized facts - rise in beta dispersion around open and decline in beta dispersion in FOMC days

Recalcitrant Beta Paper:
https://t.co/Woqgta1yY5 https://t.co/VnZXXW514T
2021-04-05 Stochastic and deterministic chaotic properties in the S&P500

https://t.co/F1uMqsRTj4

#wavelet #chaos paper https://t.co/tThtZxtwrq
2021-04-05 Data brokers and their inorganic strategies

https://t.co/YwprwCUKfS
2021-04-04 If data is a store of value, then data vaults are needed… https://t.co/E6eyqXncjk
2021-04-04 Multi-Graph Tensor Network #MGTN
Tensors, Graphs and Neural Nets applied to irregular and multi-modal data sets that often appear in finance

#TenorFlow

Paper:
https://t.co/PzMcDcT69s

Python code:
https://t.co/Wym5hrELMN https://t.co/3JtXOa86IF
2021-04-02 Bayesian stochastic local volatility modeling applied to intraday TOPIX stock returns

https://t.co/KwcxMSJ7Q1 https://t.co/ZnyM7jVZT6
2021-04-02 ZeroHedge retrospective on #Archegos collapse

#Hwang
https://t.co/8NYBbik83H
2021-04-01 E-greedy ebbs and flows of product development

https://t.co/Jn67C7Td7S https://t.co/vpVuBF58yN
2021-04-01 Paper on coherence between temperature, stock market returns, currency exchange rates and COVID-19, using Wavelet analytics

https://t.co/xCMRoPj3ro https://t.co/PRXk97ETdh
2021-04-01 Sequential anomalies in univariate time series - #anomaly paper

https://t.co/kUzD6U9QDr
2021-04-01 ‘Approaching (Almost) Any Machine Learning Problem’ in Python by Abhishek Thakur

#ebook pdf:
https://t.co/ZoiQh5Fb7l

Datasets:
https://t.co/4dQizg4p5A https://t.co/58yvkFIr1S
2021-03-31 Hmmm. A tale of regulatory arbitrage, massive leverage and Tiger cubs that don’t change their spots.
https://t.co/zIkowezYE6
2021-03-31 Data Cascades and their damaging effects on #AI projects - paper

https://t.co/3bXrwfuWjK
2021-03-30 No real Fintech sub-sector surprises for US Banking investments…
https://t.co/obowQBlDGK https://t.co/AQFe3IksrZ
2021-03-30 A working link for #lob #oib paper referenced in the prior tweet

https://t.co/Lhx0p6t68v
2021-03-30 @de_kovalevskiy Found a new replacement link

https://t.co/Lhx0p6t68v
2021-03-30 Orderbook Imbalance reversals and trade matching - #lob paper

https://t.co/jGONVRzZJu https://t.co/w1e66GwDDL
2021-03-30 Intraday, international fixed income spillover liquidity effects - bonds liquidity paper

https://t.co/jGONVRzZJu https://t.co/8ev80tXm5D
2021-03-29 And a Causal Reasoning exemplar

https://t.co/UKHuBucBv3 https://t.co/OS3cgpuCn7
2021-03-29 Judaea Pearl on Causal Reasoning:
https://t.co/PLlx1UmVQt

Podcast - Causal Reasoning, Counterfactuals, Bayesian Networks, and the Path to AGI:
https://t.co/Up2h25WR4Z

On a more practical note, Microsoft’s dowhy Python library for causal inference
https://t.co/AlRI5GEf3W https://t.co/WRJxmVzGLb
2021-03-29 @RobinWigg opines on Archegos Capital in FT

https://t.co/6xebMBLDg4 https://t.co/nNlXCgzhSZ
2021-03-29 An inherently lazy, low-code way to classify and predict. CLI and Streamlit App: (https://t.co/BKgFAZPPGf)

https://t.co/G1dnLZ2lWL
2021-03-29 Informal univalidated analysis of Bill Hwang’s block liquidation cascade yesterday…

https://t.co/Z8WSvMH9Pc
2021-03-29 Distilling simple stock patterns

Article:
https://t.co/NPtv4CqgUh

Python code:
https://t.co/mAn5OBS47l https://t.co/RnRrDXsIeI
2021-03-29 @chanep That sounds like a great new list.
2021-03-29 COVID-19 impact on Cryptocurrency returns - econometric analysis and paper:

https://t.co/hcYkmrncVD https://t.co/W4n8KUjKuk
2021-03-29 Top #AI Influencers

https://t.co/XLJQTPV2AH
2021-03-29 Morgan Stanley Wealth report on Cryptocurrency / Bitcoin

https://t.co/NFBXeX4XuV https://t.co/rW512ONePb
2021-03-29 ‘Blending Art and Science: Bitcoin Valuations’ report by BofNYMellon

#Crypto

https://t.co/CiufaIdYuI https://t.co/j43Ikv00wj
2021-03-27 NFT Ecosystem
https://t.co/DFCzjfr6z9
2021-03-27 ‘The Promises and Pitfalls of Machine Learning for Predicting Stock Returns’ - paper

https://t.co/L9zukUjuJP https://t.co/SsFiyCrvUW
2021-03-27 PecanPy provides cache-optimized compact graph data structures and precomputing/parallelization to result in fast, high-quality node embedding (in Python)
https://t.co/PgYmMJ4tY4
2021-03-27 Linearmodels - are regression models for Python that extends statsmodels with Panel regression, instrumental variable estimators, system estimators and other models for estimating asset prices:

https://t.co/GMilTdwyzO https://t.co/P7Bm4SfJWj
2021-03-27 BOCD - Bayesian Online Changepoint Detection in time-series

Article (simplest case: Gaussian data with fixed variance and changing mean)
https://t.co/nG0K40qBRC

Python Source:
https://t.co/XRKwWzylJ9
2021-03-27 Dynamic connectedness of stocks💩

VAR (TVP-VAR) Paper

https://t.co/ujR8hpnZTo
2021-03-27 Classifying volume-based trading patterns using Catboost

https://t.co/SdoKK00JvS

#ml paper https://t.co/bw9VMEnXem
2021-03-26 Covid-19’s has changed structure of the stock market globally since the spread of the virus to reduce connectedness across markets globally. Paper:

https://t.co/zznTgAtN5l https://t.co/K6YNc4Hb6D
2021-03-26 Covid19 and Beta Instability…

Jupyter notebook with Python code:
https://t.co/bOg2lKk63w

Paper on Covid19 on stock return and volatility predictability
https://t.co/I1PlxcJ7Mn

Global stock markets have mean-reverted with some altered behavior
https://t.co/Jg7EcS77az
2021-03-26 When only a metaheuristic Optimizer will do…

Python GitHub:
https://t.co/1pEN84wnwe https://t.co/iSrp3v5lF5
2021-03-26 Differential Machine Learning for Financial Derivatives

Paper:
https://t.co/oRWxrL1thG

Colab Jupyter Notebook:
https://t.co/Xw29bfbvVC
2021-03-26 Simple Colabs Jupyter notebook using TensorFlow and Monte Carlos on options

https://t.co/O4JccMs0T5
2021-03-26 Jupyter notebook to detect anomalies in time series using autoencoders.

https://t.co/j4QuRGs84d
2021-03-25 alkymi ⚗️ - Alkymi is a pure Python library for describing and executing tasks and pipelines with built-in caching and conditional evaluation

https://t.co/1cpjwRZAOQ https://t.co/jKqdz7vfzr
2021-03-25 Arc - open source data transformation pipelines for Jupyter

https://t.co/70pnDhSoeP

GitHub:

https://t.co/Bzdr1anTbP
2021-03-23 Automated market making #AMM in #DeFi markets - paper

https://t.co/aLRRiPELoV
2021-03-23 Data Science in Julia for Hackers #ebook

https://t.co/6nOB4HONQY https://t.co/MgBbF4K6fI
2021-03-21 Particle Swarm Optimization and metaheuristics in financial applications paper

https://t.co/aSF8fWtduc

(Un)Related Python #PSO implementations

Sci-kit-Opt:
https://t.co/YH3U3dmXLu

Pyswarms:
https://t.co/nCoI2Wj0fG

SwarmOps:
https://t.co/hG4omPfvGS
2021-03-21 Deep learning with SMA technical analysis explored in this article

https://t.co/Ew7ShZK2BW
2021-03-21 🔥 ‘Open Source Cross-Sectional Asset Pricing’

Nearly 100% of the literature’s predictability results can be reproduced:

Paper:
https://t.co/6dJWA35rrr
https://t.co/OwXnW2Z7gj

R #rstats Code:
https://t.co/5RPV34yFmg

Signal Inventory, Excel:
https://t.co/nwdjSdwGP2 https://t.co/jFn00FZeWH
2021-03-20 Alt-Ed, EdX for #ml, and analytics are trending upwards as traditional university enrollments are declining during the pandemic.
https://t.co/CfoM6xt2ki

Google professional certificates for data analytics (along with a range of other certificates)

https://t.co/EBuRvSf5nP
2021-03-20 Hampel filters for outlier detection in time-series

https://t.co/7BQZNoLKhg

Seperate but related pyHampel Python library
https://t.co/3Qme1IOPkR
2021-03-20 New ‘Spatial Modeling for Data Scientists’ #ebook

#flow #econometrics

https://t.co/rrvVvdm7m3

Pdf:
https://t.co/TS79EP66jX https://t.co/4xVOJLqShC
2021-03-20 Adaptive smoothing splines using mgcv in R #rstats using Generalized Additive Models
https://t.co/Wdaj2sRk4y

And in Python with a Bayesian Twist Gammy:

https://t.co/i7Eh2QmRO5

And embedding GAM with a neural twist in NNs:

https://t.co/LWIDYPvZDw
+
https://t.co/PoLi3pgfEn
2021-03-19 HedgeWeek perspectives on Digital Assets

https://t.co/sCXCDhNBdQ

#Crypto #Bitcoin https://t.co/0Lj1pNXPOs
2021-03-19 Darrell Duffie co-authored paper on Market Fragmentation - isolating market impact is one noted benefit

https://t.co/YzLjrIYNVG https://t.co/ygU3w3U9zJ
2021-03-19 ESMA Report on market structure trends and risks in Europe

https://t.co/7suA31vF4y https://t.co/XSKp7ucCZa
2021-03-18 PECUZAL automatic embedding of univariate and multivariate time series / state-space

https://t.co/A9YSHdXh5B

Python GitHub (albeit, performance optimization needed)

https://t.co/XyzAjrv72d
2021-03-17 A crash course in Reinforcement Learning using TensorFlow

Paper:
https://t.co/EuOhLyCIAg

Jupyter Notebooks on GitHub:
https://t.co/KrhVtqJTuh https://t.co/yg0TPMbFFn
2021-03-16 Swap curve fitting using TensorFlow Quant Finance (TFF)

https://t.co/Mja3NcY5FC

https://t.co/LTYPUEeEDO
2021-03-16 Liquidity spillover effects of trades executed in European sovereign bond markets

https://t.co/4jGSllrHL2 https://t.co/QxH0WVFdF8
2021-03-15 To replicate or not, that is the question

https://t.co/H0ZNUCRdC5

AQR authored paper on thematic / hierarchical factor replication - large global data set used https://t.co/ygodEnCt9g
2021-03-15 Simple synthetic time series generation - AR, sinusoidal…

Python source:
https://t.co/kzT34szPYa

Article:
https://t.co/pB5RVRgcLZ https://t.co/QUSGy77sye
2021-03-13 Tokenization is good, to #NFT yourself seems wrong on several levels
https://t.co/0Q7IakcUmg
2021-03-13 Regression tree ensemble model applied to volatility prediction - paper

https://t.co/KvbO4Irkns https://t.co/f4YUEnnJhm
2021-03-13 Empirical working paper discusses using transformed options data and adaptive group Lasso to predict stock returns

https://t.co/KvbO4Irkns https://t.co/dwKleODyqu
2021-03-13 Time-Series prediction - a new canonical wrapper for fbprophet, pmdarima, tsa, flux and dlm libraries

https://t.co/Tplpj5q7lC https://t.co/R3cL3IeI2X
2021-03-12 WIRED on @lowercarbon and other catalyzers reshaping Silicon Valley dynamically with climate change
https://t.co/zxEBaOXC49
2021-03-12 Notes on #ML (for job interviews)
https://t.co/4sjfgFgX3P https://t.co/XmCgKGfCuT
2021-03-12 Good deep dive on $FB microcosm: challenges to understand and mitigate impact of AI, bias, mis-and dis-information (and an internal project to understand societal impact).
https://t.co/P4jtxMWXiP
2021-03-12 Illiquid asset valuation using synthetic dividend strips with private equity examples but with roader applicability (eg VC).

R #rstats code & synthetic data:
https://t.co/hiHIBsBCVQ

Blog post:
https://t.co/PWRAFgHREY

Paper co-authored by @arpitrage
https://t.co/sAXgG4wu1r https://t.co/6WTzwIWAQa
2021-03-12 Stock draw-downs and draw-ups analyzed

https://t.co/MszUUSFrGJ https://t.co/BVsf7C3XdG
2021-03-11 Naas (Notebooks As Automated Services) - Netflix open source notebook scheduling

Python source:
https://t.co/KoHElcAG2b

Roadmap:
https://t.co/DdPiU7U9VM

#Jupyter
2021-03-10 A perspective on a Kubernetes & Kafka FIX stack for the modern age… https://t.co/fl5UtdANrI
2021-03-09 Probability of intraday trades analysis on ASX stocks

#liquidity paper

https://t.co/wLOBho0GfQ https://t.co/V4jgjd7ITz
2021-03-09 Yet another #ml paper on stock price prediction using Analyst ratings and other fundamental and technical features with references to prior studies

https://t.co/LAMNtSA6iH https://t.co/i22RKl8DX8
2021-03-08 Paper analyzes correlations between the price fluctuations of selected cryptocurrencies and social media activities using noise-correlated stochastic differential equations Fir time-series prediction.

https://t.co/4kjlPm6KiU

#ml #sentiment https://t.co/WDwV8DclSQ
2021-03-07 Market impact in Cryptocurrencies is explained in part by limit order book imbalance information (similar to stocks)

“There is a higher probability of mid-price decreases in regimes with low values of order book imbalance, and vice versa”

https://t.co/nOldXxUtFQ

#Crypto #TCA https://t.co/l5sM7F1vBs
2021-03-07 You can’t see the forests from the trees…until you analyze the gaps in the forests.

ForestGapR is R #Rstats #DataViz #ESG

https://t.co/bsECJPF7WX https://t.co/wRofY752RO
2021-03-07 Extracting Forest Information from LiDAR data using R #rstats and #Shiny

https://t.co/MNWw4naZpT

#ESG #dataviz https://t.co/0kAa3NMeLm
2021-03-07 NBA Analytics seems to increasingly gravitate to ideas from the realms of econophysics, trade performance and risk management to analyze player performance
https://t.co/5MrPOAwgoB https://t.co/ZxX0b7xayp
2021-03-06 #LOB recreation model (LOBRM) using deep learning to recover the Limit order book of five price levels for small-tick stocks from TAQ data.

https://t.co/qgbl2vJg4b https://t.co/4TugmMKGFF
2021-03-06 Leaning in to ambiguity, patents as recipes and other unconventional views of IP | in #HBR

https://t.co/ddAjJcL21d
2021-03-06 Bitcoin and S&P volatility with predictability - paper
https://t.co/nTgXg5LUkA https://t.co/0lu5HWCJ7z
2021-03-05 On Synthetic Data generation using #GAN and #VAE methods
https://t.co/stVY1NsEGI https://t.co/2BaP3d2v3X
2021-03-04 Optimal trading when volume is uncertain

Paper (2020):
https://t.co/gPhNg6JMNJ

Julia source code:
https://t.co/Oe5htFKkHl

Mean-CVaR Framework (Vaes and Hauser) https://t.co/kd4iL785nw
2021-03-03 On Bond ETF Redemption Baskets | in FT
https://t.co/vE8bUqXUMM
2021-03-03 Thursdays are for Turbulent Spreads in Treasuries | in FT
https://t.co/zmNZsvMCC4 https://t.co/3dekg8PwCl
2021-03-03 Consumer finance datafication - blog post

https://t.co/c6TA5sRX6f
2021-03-03 This recent paper “How to measure the liquidity of cryptocurrency markets?” has most of the well-known, well-quoted well-researched spread estimators in one place.

https://t.co/EMt0N0qJTL

The spread #liquidity estimators are useful across crypto, fx, equity & other markets
2021-03-02 Cost based market #liquidity estimators compared with CHL and other liquidity proxies - paper

https://t.co/IxfSc278QL https://t.co/9hE36Yb5Ic
2021-03-02 New early-stage open source Python package for fundamental equity screener tools, Portfolio, Trade, Broker and other abstractions

https://t.co/JjdBkPUDHq https://t.co/Ugr9rU6fKR
2021-03-01 U.K. Footfall pre and post lockdown as a measurement of FutureWork recovery and inflection | in FT

https://t.co/B3d6vCeqw3 https://t.co/nUXdtqaasY
2021-03-01 Corporate Bonds #tca paper

https://t.co/CmRVPx7gKZ

empirical using #trace reporting https://t.co/K7nk9d0fSJ
2021-03-01 Citi GPS Report on Remote Work

https://t.co/cVmQ9HQAwr https://t.co/Z6JPdfSIip
2021-03-01 JPMorgan Research Report

Perspectives on FinTech, Digital Transformation, #DeFI and Bitcoin

https://t.co/MLQ65IWom5 https://t.co/w1MKWpNDe1
2021-02-28 Feature-based representation of time-series. A feature-based approach avoids training a model directly on sequences of time-series values, but instead uses features computed in reduced time intervals to make the prediction or classification. - Paper

https://t.co/vw52XOoEVH https://t.co/70b6t7GiLl
2021-02-28 Discrete Shapelet Transforms - paper

https://t.co/NcL7TRki3b https://t.co/hJdcy9MnD7
2021-02-28 @hedgefair Yes, would agree…

Example:

https://t.co/5ivUejbQmc
2021-02-28 @dannyrussell53 Paper by S Jaffard, P Abry, and H Wendt. 

Title in picture and link below:

https://t.co/i6qn0EFJE3 https://t.co/pOY4O534d0
2021-02-28 @boleroo Time-Series graph pattern matching in MOTIF building can involve fractoids or approximations of fractoids in time & space.

But MOTIFs can also be based on other symbolic non-fractoid representations.

Investment MOTIFs are thematic and defined by algebraic ops on time-series.
2021-02-28 Wavelet-based multi-fractal analysis of 1D signals implemented as a Python package
https://t.co/UHq4JU67GC
2021-02-27 MK Motif algorithm finds pairs of motifs which are identical subsequences in a time-series which repeat more than once.

https://t.co/9NJsYrH6C8
And Mueen-Keogh paper https://t.co/4lYc1uqP9C

Probabilistic method
https://t.co/7hXQduSRFE and paper https://t.co/7hXQduSRFE https://t.co/HPTOMnPt4c
2021-02-27 Online tool to create synthetic indexes - enombic

https://t.co/tBdtnFGSyH

https://t.co/MabaGCxRSN
2021-02-27 36 Trading volume / signal dispersion anomalies - paper

https://t.co/XMMETwoME1

#alpha #tca https://t.co/gijGIOfCxH
2021-02-27 REIT Trading Signals based on their options - paper

https://t.co/h6wt7iztHJ https://t.co/DMHUOjrG4o
2021-02-26 Portfolio Optimization Vs Trading Rules

https://t.co/M8poEcqqTW
2021-02-26 Stock Tweets - features and credibility analysis - random forest based classifier - paper

https://t.co/IrivgvQCrG

#ml #nlp https://t.co/0toBP3rRe0
2021-02-26 Spikey Cybersecurity hack detailed in this paper:

https://t.co/rqgNxaKnQx https://t.co/lGDX0GOQ1b
2021-02-25 R package HighFreq for intra-day and high-frequency trading analysis - OHLC bar and trade and quote (TAQ) data

https://t.co/r37QvMUqVA

#rstats #hft https://t.co/ZA499UFtCL
2021-02-25 Refinitiv, now an LSEG Company is hiring Financial Engineer / Data Scientist who can code in Python talent to join our growing team in Gdynia to help build the next generation of financial applications and workflows using machine learning, natural languag…https://t.co/ZhAlGgv0Ki
2021-02-25 New Command driven stock screening, technical analysis / prediction open-source terminal in Python using APIs or scraping low-cost or free data sources

https://t.co/UmQyOK6TaC https://t.co/pqB9bRTQ7v
2021-02-24 Non Fungible Token Art and Beeple where the physical manifestation of Art is not the feature, ‘it is the bug’.

#crypto #defi #nft #Beeple
https://t.co/CgIO4Fe3af

https://t.co/qhSHdxhaHY https://t.co/CjxtE9wVXu
2021-02-24 @SalArnuk Sometimes the block is enough to fully absorb the parent order, when that happens, 100% market impact is avoided for zero leaves by that large print on the tape.

Blocks are a very good thing when you can get them and avoid the flow predators, even in 2021.
2021-02-24 ‘Uncertainity in Renewable Energy Time Series Prediction using Neural Networks’ - paper https://t.co/Al9yo79K8L
2021-02-24 Statistics and Machine Learning in Python #ebook with illustrated Python examples:

ftp://ftp.cea.fr/pub/unati/people/educhesnay/pystatml/StatisticsMachineLearningPythonDraft_202007.pdf

Or

https://t.co/9KnwtffIDf https://t.co/CAcRSMK80A
2021-02-24 Dissertation - ‘Deep Learning for Time Series Prediction & Decision Making Over Time’

For multi-horizon forecasting, the Temporal Fusion Transformer (TFT) is detailed

https://t.co/vkEcpq5Dxa https://t.co/CjYnzP7MnJ
2021-02-24 ML for Trading #ebook - introductory course textbook

https://t.co/3Bt5xY1a3z https://t.co/jiybwYz7BW
2021-02-24 The density of trading agents - aka ‘concentration’ and market impact effects - #TCA paper

https://t.co/6DrTiOIh3d https://t.co/quTu4c7ByS
2021-02-24 Multiple level limit order book order flow imbalance and market impact in simulated markets - #TCA paper

https://t.co/Li3FWbBbST
2021-02-24 Cointegration of financial time-series using CointAnalysis

Python code:
https://t.co/2bs2wB4ttM https://t.co/zwF5ZlgZSS
2021-02-24 Fracdiff:

Fractional Differentiation processes time-series to a stationary one while preserving memory in the original time-series - performance optimized

https://t.co/N7m4VWjVDC

And example here:

https://t.co/XdcWcCwZgP https://t.co/PCUULiho9v
2021-02-24 Stratchery on AWS

https://t.co/x1UZerKtpn
2021-02-23 Crypto examples illustrating time-series persistence on QuestDb (~ Postgres)

https://t.co/PwYwOKfowY

https://t.co/ud1hqICo8p

https://t.co/V8RkHi9ZXG

https://t.co/Csup3FSDxF https://t.co/T2qd5srhst
2021-02-23 A blog post on AI ethos at a small trading firm in the UK
https://t.co/ZMdwjpwK0x
2021-02-23 @thienan496 Here is a link to Python code for CMA-ES to make it accessible to those facing non-convex, ill-conditioned, multi-modal, rugged, or noisy optimization problems in continuous search spaces.

https://t.co/ZuN8AJzYTK
2021-02-22 @arxivabs Thanks,

It’s a good abstract. I wish more effort was made to providing direct links to code and data-sets.

The paper provides a link to the Zendo data set but the abstract page misses it.

Code that might be relevant could be included. The empty slot is there for links. https://t.co/ElsrWHrWpq
2021-02-22 Entity linking on Reddit - 17,316 Open Entity Dataset Paper
https://t.co/AOSI2F3bRB

Data Set:
https://t.co/XguArqbaDS

~ Code:
Multi-Relation Named Entity Linking
https://t.co/ZERWzBXLwN
Minerva Network Meandering
https://t.co/mjPVs5hJuI
Twitter:
https://t.co/3giDxGxgst https://t.co/qwQsSJ1hwe
2021-02-22 Bitcoin and Covid-19: wavelet coherence
https://t.co/FEA0YcoPdj

pyCWT Python library that could be used to reproduce similar grinstead wavelet coherence analysis https://t.co/1oCjAe2nB2 https://t.co/WPfSDyzX0l
2021-02-22 Predictive Power $PPS vs Correlation measure / metric:

https://t.co/3QVtyC5Ep7 https://t.co/WJdEaOmTfm
2021-02-22 Stochastic model of trading costs - #TCA Paper

https://t.co/75iV4Ibb30 https://t.co/zXjGM5XERt
2021-02-21 ‘The Impact of ETFs and Index-Tracking and Passive Strategies on the Fixed-Income Market’

https://t.co/HmBz3VDPtz https://t.co/KQQULgIj8x
2021-02-20 Short paper on current fixed income market structure - treasuries, corporates, CDSs…

https://t.co/a8ygUlq3HL https://t.co/qi7Tezi7uK
2021-02-20 Order imbalance in #Cryptos article with embedded Python code snippets

https://t.co/nOldXxUtFQ https://t.co/6S1vQi4uNw
2021-02-19 Electronic bond trading surge post Covid19 profiled here:

https://t.co/K48LCoXKs2
2021-02-19 Machine Learning #ebook
https://t.co/ZoiQh5Fb7l https://t.co/h3HjOZ38s5
2021-02-18 Reddit, WSB and analyzing bullish and bearish stock sentiment propagations - paper

https://t.co/9B7pkQc4ZT https://t.co/7hwzursQPQ
2021-02-17 State Street research paper innovates by using single-period correlation to address the problem of time-varying autocorrelations and lagged cross-correlations of stock and bond returns

https://t.co/QAlIy3uERs https://t.co/mmvXNZHQll
2021-02-17 Hyperparameter sweeps with TensorFlow and Keras detailed in a #Colab notebook:
https://t.co/AFX9TyEUv6
2021-02-17 Python Numerical Methods #ebook

https://t.co/cKl78WKQay https://t.co/mn3TzZgd7L
2021-02-17 Presence of jumps and co-jumps for 54 Cryptocurrencies analyzed in this paper

https://t.co/ggEXM6nhXd https://t.co/26FrglPiXB
2021-02-17 Herding behavior and overconfidence for stocks in China represented and modeled by complex graphs - paper

https://t.co/6tqsInznMK</a>

#dataviz #network https://t.co/B6v1yHS9MR
2021-02-17 Reddit NLP stock sentiment analysis with TensorFlow, Vader, Fourier Transforms and Reddit data api - praw

Article:
https://t.co/WyddIu6MQp

Python source:
https://t.co/JQ4HBx3VAZ

Data for reproducibility:
https://t.co/JQ4HBx3VAZ https://t.co/GGabB46NHU
2021-02-17 FCA paper on Dark Pools in stock Trading

#TCA
#marketmicrostructure

https://t.co/aAn6GPG5Ji https://t.co/PJiGzRB9mM
2021-02-16 BigTech in banking

https://t.co/kYKhKydhhl https://t.co/GrDORdd9Gl
2021-02-16 News sentiment correlation networks for stocks - paper

https://t.co/ZaEZectLaI https://t.co/tEVSxTcJiU
2021-02-16 Amazing interactive #dataviz of college syllabus materials and textbooks

https://t.co/JK3wzgJqA3 https://t.co/XLGkRkc4pJ
2021-02-16 Synthetic Time-Series with TimeGAN

https://t.co/oZNKBLwUNt

https://t.co/Gq8jVHbia6
https://t.co/aKJK7RJzua https://t.co/EUKgvUNtAy
2021-02-16 ‘A course in Time Series Analysis’ #ebook with R examples

By Suhasini Subba Rao

https://t.co/NIreVt9PUL

#rstats https://t.co/SwxptNwTWL
2021-02-16 Automating simple price action rules for breakouts and technical conditions using a python library called Stolgo

https://t.co/VwKIRAQ180 https://t.co/OojPtej1nF
2021-02-16 Impact of #AI on corporate strategy

https://t.co/hS2qIf1okr https://t.co/mGlF3mnnnb
2021-02-14 Modeling impact of a social network in China https://t.co/Qln5E7Ivdc (xueqiu literally means “snowball”) on stock trading - #PLOS paper

https://t.co/SKM5gmFVdZ https://t.co/JgHbO35YY9
2021-02-14 Sunday’s are for streaming shoutouts using Streamlit

You only look once #YOLO:
https://t.co/S0ZSnfh5Gn

And

Self-driving
https://t.co/0h3WXcED3H

#OpenCV #Python -
https://t.co/Mi9XSmIdwp https://t.co/4LHzPLacwI
2021-02-14 TransLoB - Transformers for Limit Order Books - architecture uses a causal convolutional network for feature extraction with masked self-attention - with hyperparamers for FI-2010 dataset

Paper:
https://t.co/Xp58CgzHGr

Python TensorFlow:
https://t.co/FPNrvbG0II

#lob https://t.co/IUWsvSgjku
2021-02-14 Deep learning applied to Bitcoin limit order books #lob

Paper:
https://t.co/0VFGx11eGc

GitHub Jupyter Python TensorFlow code:
https://t.co/mjFvA4Ze1Q

#Crypto #lob #paperswithcode https://t.co/25uOKDJ57r
2021-02-14 DeepLOB - convolutional filters & LSTM models spatial structure of stock limit order books #lob

Paper:
https://t.co/aCC49Vyp98

https://t.co/UPxk7ssiCO

Python / Jupyter (Keras / TensorFlow code):
https://t.co/jV7rnPSVEM

FI (2010) dataset:
https://t.co/vnbcsPYEsh
2021-02-14 Computer Vision in a Jupyter Notebook, in this case, #colabs using TensorFlow

#OpenCV

https://t.co/wP98NOwMS5 https://t.co/6s7hThLkwg
2021-02-14 Continuous Trend Labeling of financial time-series for machine learning based predictions - paper

https://t.co/XtoWMMKz9f https://t.co/XZUDK3v2qo
2021-02-14 Modeling #lob (market and limit order book) dynamics in Bitcoin wIth simple equations - paper:

https://t.co/UDq8OTF7za https://t.co/vmSnK01Y1A
2021-02-14 Black Box model risks inclusive of adversarial attacks - paper

https://t.co/Bw3qbcgUvk https://t.co/sstMRxEFpo
2021-02-14 Stock liquidity proxies - #TCA paper

https://t.co/P8w8QcqqoW https://t.co/qBUjU17Fkh
2021-02-14 Rolling correlation, average order book volume and market impact analyzed for stocks in Japan - #TCA

https://t.co/ciHPnjFTrn
2021-02-13 Predatory Trading
In Corporate Bond Markets - paper

https://t.co/yfCwkyrNQH https://t.co/6M2WpaxLrl
2021-02-11 Dissertation on ‘Market Efficiency, Behavior and Information Asymmetry: Empirical Evidence from Cryptocurrency and Stock Markets’

#crypto stylized facts / efficiency asymmetric information paper

https://t.co/daWS0Y8HM1 https://t.co/yFmXeuQnG8
2021-02-11 Cross impact for exchange traded derivatives - VIX, S&P

#TCA paper

https://t.co/IIctasxWu1 https://t.co/nksEOvXAS1
2021-02-10 WIRED on mutations and recombinations and the surprising evolution of the B117 variant of #Covid19
https://t.co/gfa9z1Msw2
2021-02-10 Here is a curated list of AI #ML Video Courses

https://t.co/9aG4DOvNcy
2021-02-10 And if you prefer, symbolic regression in Python - pysr

https://t.co/FNjXRgq1pd https://t.co/kK24bHJdGj
2021-02-10 Deep Symbolic Regression in open source

Paper:
https://t.co/NZKC1iZfTc

Python GitHub:
https://t.co/HKWU36WtDi https://t.co/ioQlbtKBSZ
2021-02-10 15 Papers From Google AI Research Accepted By NeurIPS 2020

https://t.co/lTKFa4m6hG
2021-02-10 Symbolic Regression in Julia

https://t.co/qo8wXnnyM4 https://t.co/bG3jXEZPUq
2021-02-09 TheEconomist on Payment for Order Flow #PFOF in market microstructure

https://t.co/9rM0GMM0Fy https://t.co/VXYTWBMRtO
2021-02-09 @see_jeff_tweet LOL! I. have. no. words.

Links reveal themselves to me. https://t.co/srXEgib9rL
2021-02-09 Algorithms for Decision-Making #ebook with Julia code

https://t.co/TnZY5ApZ1N

PDF:
https://t.co/rHiJs8cDcf https://t.co/UEHVNLeW8Z
2021-02-09 Stock Market Manipulation Detection Using Continuous Wavelet Transform & Machine Learning Classification - paper

https://t.co/rKiqc4EfK5 https://t.co/phegw9r6gk
2021-02-09 On DeFi Financial Markets | St. Louis Fed research report
https://t.co/dJs4Kvwk4B
2021-02-09 @nope_its_lily @dnegrin @6_Figure_Invest New Limit order book dynamics are confounded by retail - eg for Gamestop and Tesla and how to explain complex behavioral and PFOF impact on the system. Research of course is flowing in this direction as well to complement agent and pure #lob models.

https://t.co/huMdcS3Yv3
2021-02-09 @nope_its_lily @dnegrin @6_Figure_Invest Thanks for the follow - if you search my name @carlcarrie and #lob in Twitter you will find all the limit order papers I have posted. Hope that helps a bit.
2021-02-09 @nope_its_lily @dnegrin @6_Figure_Invest Directional indicators from limit order book #lob information can be sourced from many related ideas:

Aggregations of order imbalance https://t.co/9zJGavJQwf

Impact & reversion effects https://t.co/YpDuAERldQ

Reduced form Level 1 approximations
https://t.co/rRxhaAKw86

2021-02-07 Paper on Australia Dark Pool dynamics and when spreads in lit markets are a factor in order placement decisions

https://t.co/SXSpUJALcl
2021-02-06 Quantification of the Self…
https://t.co/UyKQcVrYzS
2021-02-06 Paper analyzes short term profitability of Bitcoin using Variable length Moving Average Strategies and Geometric Average Trading Period Returns #BTC

https://t.co/YSl2x79Kd3 https://t.co/wcKRfXe0OG
2021-02-06 And a related set of perspectives on #CartaX

https://t.co/JFtuz6v7wy
2021-02-06 CentroidNN for unsupervised few-shot learning / clustering converges much faster than conventional algorithms with compatible clustering quality.
https://t.co/wpqnGRTCZF

GitHub Python Source:
https://t.co/P1mjHYo8zY

Jupiter Notebook:
https://t.co/u6Pte7l18E
2021-02-06 ModelX is a reimagination of spreadsheets as formula-centric objects that are interoperable with Pandas in open source Python

https://t.co/Yg36woFUS1

Github:
https://t.co/ToOwvcLtR0
2021-02-06 Perspectives on an Omnibus Custody Model for #Crypto
https://t.co/vKZyDFzgAJ
2021-02-06 Explainable self-adaptive
forecasting: multi-step forecasts of multiple-related time series. [DeepAR] with SHAP pipelines for interoperability. Engineered on AWS, Dockerized and Pythonic

https://t.co/5IBbJqSSDE

Video:
https://t.co/hrroSIQ1oa https://t.co/JitAcyxCvh
2021-02-06 Intro to eXplainable AI #XAI

https://t.co/f2EQZQ4Go2

And referenced #ebook on interpretable AI models by @ChristophMolnar

https://t.co/IAIOLoeRxK
2021-02-06 WIRED on #DataPrivacy erosion via fused interconnections of sensors, eyes and algorithms

https://t.co/SGRLWiOcGC
2021-02-04 Numerical methods - papers with code
https://t.co/Ay9oSm8hxi
2021-02-04 On the CartaX Exchange and the new emerging market structure for private shares
https://t.co/65MdGxDHOo

https://t.co/s6JJImBe4C
2021-02-03 Tim Cook opines on data privacy and big tech | in GQ

‘Rampant disinformation and conspiracy theories juiced by algorithms’
https://t.co/B7nCXNYx7p
2021-02-02 On commercializing GPT-3

https://t.co/NAO0KKSLhm
2021-02-02 Perspectives on ESG | in HBR

https://t.co/t4K5kp0R2b
2021-02-01 Re: Data Ecosystems

https://t.co/06rt5oqvj8
2021-01-30 Market Microstructure Essays

https://t.co/PKXjdmKMxm https://t.co/ncVsIReUMa
2021-01-30 Dark Pool - information - jumps, cumulative returns

https://t.co/rj0kbF2kej https://t.co/mnLhAZjI0P
2021-01-30 Carbon-Credit - a proposal for a blockchain-based ecosysytem

https://t.co/RjM2H90bq5 https://t.co/lZw2gFJiTU
2021-01-30 A paper on a new multiple-input deep neural network model, called MICDL, for the prediction of a cryptocurrency price and movement.

https://t.co/Uq9NQ4Lavu https://t.co/KDt7maHIVk
2021-01-30 Stochastic market impact and fast reverting signals

https://t.co/URWVgp4qSR

#TCA Paper, optimal execution https://t.co/g9tt16YVky
2021-01-30 NBER paper on Cov-19 lockdowns and the network evolution of stock prices globally analyzed with #dataviz

https://t.co/83R6eFCDsG https://t.co/1TE3IDC45u
2021-01-29 Gamma Squeezes are now being discussed by dentists, doormen, and day traders…
https://t.co/ZwrpYtWtgH
2021-01-28 Free and open ESG Scores as easy as typing the company name

https://t.co/Cvnql2CRxF

Announcement:
https://t.co/QCsPfMMJeh https://t.co/GW16vDMtfR
2021-01-28 Bond ETF Niche is a powerful one for Jane Street
https://t.co/m0EH6Z5Hn2 https://t.co/L9ucUrP2Sy
2021-01-28 Grayscale Eyes DeFi Space With New Trust Filings
https://t.co/khaikKsCxn

#Crypto
2021-01-27 Patents, The Pais Effect, and UFOs?

https://t.co/nRrVOA81Lx
2021-01-27 Collection of COVID-19 related data sets

https://t.co/KQLgRwpaHZ

#opendata
2021-01-27 Clean energy company price prediction using Random Forest and Tree-Bagging

#ml paper

https://t.co/AToFxvzzzB https://t.co/owsqxZmxGY
2021-01-27 Dynamic factor model applied to classification probability prediction (CPP) of stock returns #XGBoost #ml

https://t.co/SNFf4GCs1L https://t.co/MpTzOYaMU6
2021-01-27 Paper uses dynamic time warping (DTW) and a genetic algorithm (GA) to predict index VWAP (e.g. KOSPI 200)

https://t.co/VXN57JJMAe https://t.co/0XlRoWiKZx
2021-01-25 Deep reconstruction errors, anomaly detection in time series - financial, twitter, IoT, … Paper #unsupervised #ml

https://t.co/DYjzCuN73S https://t.co/bFpvmiP9KV
2021-01-25 Corrected #HMM Paper link here:
https://t.co/wxPVqOgv59
2021-01-25 mt5b3 - aka intelligent Automated Trading - paper

https://t.co/9e7zHgjC2N https://t.co/JZOzBlspY1
2021-01-25 Hidden Markov Market #HMM of Stock Portfolio Construction using Factor Composition

https://t.co/XdGmHv4dWL https://t.co/7WEpeWWZlu
2021-01-25 NBA Shooting Motions Analyzed (with Data)

https://t.co/XdGmHv4dWL https://t.co/3oimEYk1Qc
2021-01-24 Paper on Bitcoin #lob dynamics

https://t.co/UDq8OTF7za https://t.co/ZhdQqBPUzU
2021-01-24 Medical Time Series Automl - ClaAIrvoyance vs the field (cesium, tslearn, seglearn, tsfresh, pysf, sktime, pyts)

https://t.co/xlV88CBQ6I https://t.co/0A8FkvJOvU
2021-01-24 Synthetic replication of long index futures strategy using options, Kelly Criterion and an LSTM model to predict returns

https://t.co/10oHdjtpw1 https://t.co/gI6uCnDbua
2021-01-24 Technical Analysis applied to Cryptocurrencies analyzed (14k+ technical heuristics rules) - paper

https://t.co/RKWIf56QL0 https://t.co/T5OtwNuWfg
2021-01-23 https://t.co/eEebE85L6n - Serverless Analysis Toolkit

Asset management related functions:
https://t.co/deWbgIX43o

Pandas extension:
https://t.co/d3Dq2ETpTo

Restful API;
https://t.co/XSE02pXUDF
2021-01-23 Venturebeat opines on heightened Language AI opportunities

#NLP #NLG #Chatbot
https://t.co/dmPayusJmV
2021-01-23 Synthetic assets formed by using the actual stock and a replicating asset constructed from factor models, without the need to find real assets with similar properties for statistical arbitrage.

https://t.co/7Y1ql5NQeJ
2021-01-23 Paper on intraday stock return patterns conditional on observed overnight returns - paper

https://t.co/7EILHzKB9j https://t.co/qZ5U1i9XiG
2021-01-23 Intraday market microstructure and stylized facts paper:

‘However, in contrast to the ∪-shaped volatility and price patterns found in calendar time, trade-time price impacts and return volatility fall sharply from open to close.’

https://t.co/UPjrTTKxY3 https://t.co/MyDlPOwvAP
2021-01-23 A very visual introduction to machine learning

https://t.co/bJJN3JXS9A https://t.co/fjEkFHaGfZ
2021-01-23 Commodity futures & macro-links to realized volatility paper:

- economic policy uncertainty (EPU),
- economic surprise index (ESI),
- default spread (DEF), the investor sentiment index (SI),
- volatility index (VIX),
- geopolitical risk index (GPR)

https://t.co/S0wuFpjowM https://t.co/vZC2TWyYZB
2021-01-21 Double Spend Vulnerability in Bitcoin…
https://t.co/kHDFj9xeuz
2021-01-20 Dimidium, Oumuamua, oh my…

The New Yorker https://t.co/5tI9L6WkxS
2021-01-20 And in the same thread, DataSets as Data Version Control

https://t.co/H9RpHF3zDu
2021-01-20 DataSets explored and modeled as Dags in Git repos

https://t.co/kHVOHfccT4
2021-01-20 @ischmerken on #AltData ecosystems

https://t.co/3IIIYvplLF
2021-01-19 Cryptocurrency vs Currency Liquidity paper:

https://t.co/trffXMPsrK

#KNN https://t.co/liBUth9guc
2021-01-19 Tensor Quant Finance - Python GitHub:
https://t.co/LTYPUEeEDO

swap curve fit Colab example:
https://t.co/Mja3NcY5FC
2021-01-19 LidR for Forestry Analysis and #DataViz in R
#Rstats

https://t.co/Z3iIk7FCA3 https://t.co/ArbSWqYdRr
2021-01-19 Not quite GPT-3. But then GPT-NEO is open.

https://t.co/1RjkZeYBqC https://t.co/pZOO8pF3EE
2021-01-19 The Datafied Family and Surveillance Capitalism

https://t.co/wcnYipQNqH

#privacy
2021-01-18 Paper on {Papers on liquidity} Analyzed

https://t.co/f7HR3Bx9XC https://t.co/bKwoSiEG8M
2021-01-17 Multiple risk-off indicators are firing, but who is listening?
https://t.co/6Eb0TDgVtb
2021-01-17 QuestDB is the latest open source database for time-series

Works w/ Python
https://t.co/yNWi46hGYt

- augments SQL for time-series with native extensions.

- exposes a PostgreSQL wire and InfluxDB protocol via REST

- supports InfluxDB Line Protocol.

https://t.co/KTs6hFoWMl https://t.co/Eijx1TyH8J
2021-01-17 Shapash for model explainability

Python Github:
https://t.co/FUwi1u0aAF https://t.co/PEUJkGYiO4
2021-01-16 Corporate Responsibility Ranked / #ESG

https://t.co/vik3YcABQd https://t.co/uzktFHZMyu
2021-01-16 Saturdays are for great for Smoothing Series

Kalman Smoother paper with automated tuning:
https://t.co/MUbXhOPesf

Python GitHub:
https://t.co/42SGsshMCh

Kalman smoothing problem, with missing observations, as a simple least squares problem
2021-01-16 Optimal portfolio execution for illiquid stocks and markets modeled with HJB PDE - #TCA Paper

https://t.co/kfgIUWmBMe https://t.co/YtWx4s6tUK
2021-01-15 Ode to Data Engineers

https://t.co/5wX46gnchj https://t.co/O36i2P1qJH
2021-01-15 Fluent TensorFlow for tidy #ML Pipelines in Python

https://t.co/dDfwR06LUb https://t.co/FQf2tAaXdo
2021-01-13 A multi-source information-fusion stock price prediction framework based on a hybrid deep neural network architecture (Convolution Neural Networks (CNN) and Long Short-Term Memory (LSTM)) named IKN-ConvLSTM.

Paper:
https://t.co/mBqoKuM9zT https://t.co/cPZ2OM1vAs
2021-01-13 FT on regulating DeFi Banks
https://t.co/l2oCrCX7Pm
2021-01-12 FOMC Trading day volume analysis - paper

https://t.co/22EPeVTHiW https://t.co/mflXBFtq6q
2021-01-12 Market impact and cross impact across stock markets analyzed in this #TCA paper

#OFI order flow imbalance

https://t.co/X9QH4eThUp https://t.co/07QOrVbsHH
2021-01-12 @QuantRob Go for it :) !
2021-01-12 @mikeharrisNY There are also a litany of similar real-time VWAP slippage patents that overlap. Easy to find, but hard for patent attorneys to differentiate non-obvious novelty from generalized industry practice:

US7818246B2
US20190295167A1
US7440920B2
US8442885B1

There are many others.
2021-01-12 @mikeharrisNY I’m not a lawyer, but my understanding is that there is only a specific prior art carve-out for one year:

“(1) DISCLOSURES MADE 1 YEAR OR LESS BEFORE THE EFFECTIVE FILING DATE OF…”

https://t.co/0Nu1107myc
2021-01-12 Today’s dubious FinTech patent:

Re: Patenting Real-time VWAP
Patent #: US2020/0402174A1

Tracking trade performance in real-time using VWAP is prior industry art and has been implemented for about 20 years!

https://t.co/6JnWSUOwAb https://t.co/sS58sFIJMH
2021-01-12 FinRL - deep reinforcement learning (DRL)

Paper:
https://t.co/Fzs4GyTfD6

Python GitHub:
https://t.co/943dtLJF9C

Jupyter Notebook Examples:

- Portfolio Allocation:
https://t.co/LLHrR7Zq73

- Stock Trading:
https://t.co/h3u3tAu3cr

- Crypto:
https://t.co/KHDqcIFmS4
2021-01-12 Comparing the volatility predictive abilities of some time-varying volatility models such as the stochastic volatility (SV) and exponential GARCH (EGARCH) models.

#Paper

https://t.co/oV9x2rEtrt
2021-01-12 KNN vs Autoregressive predictions of Currency vs Cryptocurrency Liquidity - #ml paper

https://t.co/ifpxCDEt3q https://t.co/4moiOQN2NP
2021-01-12 Modeling the best NBA players using RAPTOR: https://t.co/sdhPfAAUIA

Raptor model details:
https://t.co/wUaIhEYZmH https://t.co/Mg397ifoQA
2021-01-12 NNI is Microsoft’s newest Python-based AutoML entrant with the ability to automate 

Feature Engineering,  
Neural Architecture Search,  
Hyperparameter Tuning 
and Model Compression.

https://t.co/rSywdDMl86 https://t.co/rHYnpHEMQn
2021-01-12 When Microsoft rethinks Python’s Pandas scale and processing power, all in the context of the cloud - Magpie paper

https://t.co/5TU3RUZ1Ua https://t.co/baWDCPDjgp
2021-01-12 Alibi-Detect - outlier detection

Python Source:
https://t.co/LP92ywumHA

Documentation:
https://t.co/DAHmUKnJTo

FbProphet time-series prediction Jupyter example:
https://t.co/XF4NosdPZj https://t.co/0V1ymwFXXA
2021-01-12 ‘Introduction to Python for Econometrics, Statistics and Data Analysis’ #ebook with video links

https://t.co/dT7lPEPlQn https://t.co/VTsT2521dV
2021-01-12 Cryptocurrency Trading - a broad profile of trading exchanges, systems, libraries and other aspects

https://t.co/s9qD6rfbgq https://t.co/P1fiTUm9ck
2021-01-12 The Quest for Privacy in search yields a new search engine…

https://t.co/6iXf49Snry
2021-01-10 Using a generative model to re-identify individuals is just too easy…

“Using our model, we find that 99.98% of Americans would be correctly re-identified in any dataset using 15 demographic attributes”

Privacy Paper: https://t.co/rI2YVF1Hy5
2021-01-09 @Kamin_1981 But, if you are trading, you will probably want to look at more depth of data and have higher confidence in the quality of how ticks are filtered and rolled up to minute granularity. It is tricky depending on trade types, contract rollover logic, etc.
2021-01-09 @Kamin_1981 You can get up to 7 days of minute bars using scraped data off of Yahoo using the popular Python open source yfinance library. So, for E-mini S&P Futures:

import pandas as pd
Import yfinance as yf
df = https://t.co/TbhBTuv8jA(‘ES=F’ , period = ‘7d’, interval = ‘1m’)
print(df)
2021-01-09 If you don’t have access to a market data terminal and you need simple analytics on Cryptos then https://t.co/v13Sqml50W may be useful:

trades per minute:
https://t.co/2gWtfTMZu2

consolidated limit order book:
https://t.co/OyAucLJ9dI

bid/ask spreads:
https://t.co/2z3SGy7KVz https://t.co/Oj7B1rNjX9
2021-01-08 Paper models market impact in continuous time and integrates market makers

#TCA
https://t.co/M93NnEPnpR
2021-01-08 Crypto Asst Class now @ market cap of $1 Trillion
https://t.co/AAzxwK29tR
2021-01-08 Full information trade classification model for high-frequency matching of trades

#lob #hft paper

https://t.co/Mj1pB9Czlf https://t.co/lJdaY9IaVN
2021-01-08 Paper explores impact of investor attention on idiosyncratic risk in the cryptocurrency markets.

https://t.co/PspWKinDJq https://t.co/iW8TFlq6YX
2021-01-08 Return to work new normal?

https://t.co/5dMzE4XQLJ https://t.co/9feXckOXnt
2021-01-06 Article: Recovering Accurate Implied Dividend and Interest Rate Term-Structures from Option Prices

https://t.co/vF7VCSKJRh
2021-01-06 DALL·E: Creating Images from text

DALL·E is a ‘portmanteau of the artist Salvador Dalí and Pixar’s WALL·E. is a 12-billion parameter version of GPT-3 trained to generate images from text descriptions, using a dataset of text–image pairs.’ #gpt3 #nlg
https://t.co/AaOgRaJlLM
2021-01-05 PFMIs, Stablecoins and parasitic behaviors
https://t.co/vtgCOZTMRf

#Crypto
2021-01-05 Z-scores applied to vwap and twap benchmark slippage is obvious and not novel and should not be protected by a patent

https://t.co/6qaxiVbeFy https://t.co/zj8x8JmqeF
2021-01-04 Growing list of FinTech companies

https://t.co/kIiTddP0ix
2021-01-02 Ruptures is for change point detection of non-stationary time-series in signal detection

Python Github:
https://t.co/KN5asMBJ4z

Paper:
https://t.co/NlL6lrddlS

Intro:
https://t.co/W1ZH8LyfNM https://t.co/UnWcuWzDu3
2021-01-02 ‘Feature Engineering and Selection: A Practical Approach for Predictive Models’ #ebook (2019)

https://t.co/02zD0dphC8
2021-01-01 NYT - The strange markets and social equity retrospective of 2020
https://t.co/oS5wRlccoI
2020-12-31 Chip Huygen @chipro blog post on real-time ML

https://t.co/Jfvi8YaLPE
2020-12-31 RemixAutoML R prediction library with feature engineering and popular *boost models

https://t.co/88wAk2SzaR

GitHub #rstats code
https://t.co/QcMwmKj5Q3
2020-12-30 Python Code for AI: Foundations of Computational Agents #ebook

https://t.co/fXvGA02srj https://t.co/4F81ldr8lA
2020-12-30 Interesting strategic analysis of Google’s ‘Maps’ MOAT

https://t.co/0xEe5Z4dAx
2020-12-29 Modeling DeFi lending - #Crypto paper

https://t.co/USBDwU2hSw https://t.co/xlALryqZmC
2020-12-29 Time-varying seasonal structures in time-series extracted and memorized by a HMM model

Paper:
https://t.co/MhI3Z4iTuB

GitHub Python code:
https://t.co/oW3jjsdbaC https://t.co/XUvRM7VD15
2020-12-29 Short term-alpha from order / trade flow signals - 2018 notes by DB practitioner

https://t.co/B9zWWs3Shr
2020-12-29 Crypto prediction paper describes using spread, trade and order flow dynamics and other classic price based featurization and log, moving average and diff variants

https://t.co/Q0ZeMnvzV8 https://t.co/edlHcnB3cL
2020-12-29 #HFT in stock trading is much more complex than multi-dimensional chess as these two papers illustrate

144 dimensional featurization of tick data https://t.co/u6KLgNUG4W and the derivation of very-long short term memory network (based loosely on LSTM) https://t.co/b7cbxUcJXJ https://t.co/qCAnqtj5Td
2020-12-29 Multi-agent, order flow imbalance with market impact

#TCA #lob #MLOFI paper:
https://t.co/Li3FWbBbST

Related Python GitHub:
https://t.co/ydrJfYUUNo https://t.co/Vi9ppA4vmA
2020-12-29 Extraction attacks from large language training datasets
#cybersecurity

https://t.co/rv207QGQXx https://t.co/Mz6FzBo7L1
2020-12-28 State of Crypto - a16z
Collection of Videos and Slides https://t.co/z6xLodcFCn
2020-12-28 Stock Twits /Twitter Sentiment and attention prediction of realized volatility paper - HAR model

https://t.co/G9FF1l7gwz https://t.co/gP0L5nzML9
2020-12-28 @see_jeff_tweet @OpenSourceQuant @JacquesQuant @QuantRob @QuantBrokers @VitoLestingi One concise version of the I* model can be found here (see pg 5) along with older (2013) coefficients for US and CAD markets

https://t.co/UNdavjBAjd
2020-12-28 @MarcosCarreira @see_jeff_tweet @JacquesQuant @QuantRob @experquisite Deserves a deep read (this weekend perhaps). A quote from your paper is thought-provoking:

‘Agents are always trying to estimate the probabilities of reversion and trending; slow agents rely mainly on price changes, not order book dynamics’
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob Alternative shortfall metrics are useful in that broader context as they outline.

One quibble: use of VWAP is however inherently naive in the example provided. VWAP may have relevance in passive portfolio tracking but rarely when alpha capture vs market impact is the objective.
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob From that paper

“our results suggest that managing scheduling risk is more relevant for a passive institutional investor’s typical trade flow. Microsecond performance is dominated by parent order decisions; when we trade is more important than where we trade.”
2020-12-28 ‘The Plague Year’
Retrospective in the NewYorker

https://t.co/5V57HCVEp1 https://t.co/SGEoepUayR
2020-12-28 @MarcosCarreira @see_jeff_tweet @JacquesQuant @QuantRob @experquisite Marcos, thanks for that timely post, several good papers listed:

one of the papers https://t.co/qDo95Yuc1h discusses the use of limit order book information - eg order imbalance as a trading signal.
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob Simple TCA models offer a useful start but are far less effective in determining trading outcomes these days than in the past when dynamics were simpler, execution costs were higher and information diffusion was slower.
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob Institutional brokers often provide market color mid-day around flow dynamics to large order placers, in particular where there are natural order pockets of less-short-term naturals. Order flow has many attributes that can be used to determine efficacy and urgency decisions.
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob A quick search through my tweets - eg ‘carlcarrie #TCA’ or ‘carlcarrie #LOB’ on twitter will yield a number of papers incorporating some of these nuances for your lit review.
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob Large passive funds have a radically different cost structure than idiosyncratic alpha hunters but execution with systematic internalizers distorts comparisons of implicit/explicit costs between firms a bit between those who are limited to lit markets.
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob With so much institutional equity trading done off exchange these days, and so much being done near & on close, price discovery is inherently different and is shaped with information and inferences about print trade classifications and about passive flow dynamics from index/ETFs
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob Going deeper into the micro, meaning into the limit order book level often a technique high-frequency systematic strategies employ. Patterns of liquidity-price formation are important in micro order placement as part of systematic strategies. Bid Ask spread measures miss texture!
2020-12-28 @see_jeff_tweet @JacquesQuant @QuantRob Always happy to help.

Minimizing slippage and optimizing execution of systematic strategies is a bit more meaningful when you have more information about the portfolio that you are executing. The original TCA models do not consider the additional information.
2020-12-27 Practical considerations in integrating ethics with AI - paper

https://t.co/tIVQaal0mK https://t.co/moOwI8fjZr
2020-12-27 Symbolic Regression - Functions of practical interest often exhibit symmetries, separability, compositionality, and other simplifying properties. These properties forms the basis for this Python Github.

https://t.co/kjrSPyO8n4

And research in the space:
https://t.co/RB6kYtH4Og
2020-12-27 Source code of the BioNTech/Pfizer SARS-CoV-2 mRNA vaccine broken down character-by-character
https://t.co/f1Vmh8imyR
2020-12-26 Liquidity for CMBX paper:
rolls, indexes, spreads and microstructure

https://t.co/8d4wGthu73 https://t.co/YZD5tS1rz0
2020-12-26 Hazard rate analysis of Fleeting Orders and Flickering Quotes in stock markets #hft #microstructure

https://t.co/23BmBDxXcm
2020-12-25 Mixed Integer Programming using SCIP

Paper:
https://t.co/nXhHpo2AHs

Python Github Source #PySCIPOpt

https://t.co/Iq76W1InuC
2020-12-25 Absolute Roll analysis - liquidity

https://t.co/SAQeySBGzP
2020-12-25 H2O Wave is a new software stack for building low-latency, realtime, browser-based applications and dashboards in Python

https://t.co/33bzRXgStB https://t.co/UvDt6yWrl8
2020-12-25 #NBA Player Tendencies profiled in R #rstats with #dataviz

https://t.co/ocEg4EZU6L https://t.co/7LlwqR1a1f
2020-12-25 Beyond Dashboards…
https://t.co/Ns35aDOQ50
2020-12-24 Good summary of US equity trading microstructure innovations in 2020/21 including an emerging shift of block trading to exchanges

https://t.co/d7mitAI1E3
2020-12-23 NYT opinion writer reflects well the pandemic zeitgeist….

“This is the present tense. A tense present. The past has contracted to the last day in March…” https://t.co/Ko4yPVGxqf
2020-12-23 Open Source Alternatives … for Everything!

https://t.co/LC43m7xb7k https://t.co/alqIbtaMOp
2020-12-23 Tigramite, CDT & TCDF are Python packages for causal discovery, that is to infer the causal structure of a closed system of time-series

Intro:
https://t.co/yoWhLSjzHM

Githubs:

> Tigramite:
https://t.co/HeKMW94fdx

> CDT:
https://t.co/FUU5JcbnxH

> TCDF:
https://t.co/QWPC1RRdng https://t.co/rAGsttre1E
2020-12-23 Visual guide to Python’s Numpy
https://t.co/ZjjREKMuaS https://t.co/WeCKsQgktz
2020-12-23 ZenML - https://t.co/hJGqUpGFCG

#MLOps - versioning, metadata management
2020-12-22 Riskfolio - New Python risk optimizer based on cvxopt, numpy and scipy.

- 10 Convex risk - eg Std. Dev., MAD, CVaR, Maximum Drawdown…

- 7 Risk Parity - eg Std. Dev., MAD, CVaR, Maximum Drawdown…

- Black Litterman and Risk Factors model

GitHub:
https://t.co/vC44dqfYvW https://t.co/XVvPQtuCxi
2020-12-22 Massive intangible value growth profiled in this blog post…

https://t.co/cz9MfYGa9m
2020-12-20 JPM Quant Research perspective on Bitcoin
https://t.co/xuOiY0uAyh
2020-12-19 Lux - Ad-hoc Python time-series visualizations for EDA in Python within Jupyter notebooks

https://t.co/r2sqe0fUVu https://t.co/MRx2NC5NEz
2020-12-19 #Synthetic Data Vault for tabular, relational and time-series data using Copulas and Deep Learning

https://t.co/BGaKDBTOda

In Python you can fit a synthetic data easily:

from sdv import SDV
sdv = SDV()
https://t.co/gP3ZLYKaex(metadata, tables)

https://t.co/GTXEbl27M4
2020-12-17 Paper and Python code used to label / classify state of markets using ‘market features’ in a ‘feature space’ and reduce dimensionality for prediction.

Paper:
https://t.co/x5Q4DplcC8

Github:
https://t.co/oASMwhzn3J https://t.co/gaYSk3r7Nl
2020-12-17 Trade direction in fast stock markets - Bank of England #lob paper

https://t.co/Z9HhMMj7av https://t.co/JB7ki86wHN
2020-12-17 Collection of free Python #ebooks

https://t.co/5j9vDuaNcK
2020-12-16 Correlated with massive rise in peeking out our windows in 2020…
https://t.co/stvgqLsTYj
2020-12-15 REST vs GraphQL - paper

https://t.co/urai3Ej99Y https://t.co/LT5e7b06Pl
2020-12-15 Streamlit / Python based #ml code generation for image classification and object detection tasks - traingenerator

Hosted: https://t.co/EWIja09dHF
GitHub: https://t.co/uqbTkcX2MQ

Generates readable code using PyTorch and sci-kit frameworks https://t.co/j5QOBelc6Y
2020-12-15 #Liquidity metrics for Indian Stocks - paper

https://t.co/4Yz9uSDXE2 https://t.co/51EfzWqMVc
2020-12-14 Python / Pandas project to generate Synthetic Data for financial markets applications

GitHub:
https://t.co/GWFKnYjEch

Road Map:
https://t.co/of7YPSNi4F

#citigroup #FinOS https://t.co/PDKI1dBeSF
2020-12-14 TODS is a Python-based automated machine learning system for #outlier / #anomaly detection on multivariate time-series data.

https://t.co/GgHZ1SLdzw

#ml https://t.co/COWolqJxmi
2020-12-13 Deep learning and stock factor models using OLS/LASSO

https://t.co/g7tJO40PG3

https://t.co/iDUbMW43XK
2020-12-12 Subjects of nefarious interest | in https://t.co/UYQ4kY8rJs

https://t.co/FvZUg1Pmdg
2020-12-12 Polars (aka pypolars) is when you have eager and lazy data frames with high performance written in Rust for Python data scientists

https://t.co/RDIxA2TPI9
2020-12-12 Hoopdown
#rstats for #NBA clustering

By @alex_stern

https://t.co/N8JpPsBssG
2020-12-11 7 early VC rejections for Airbnb including the market size is not large enough to invest in…
https://t.co/H7h3nwlSXL

And a pre IPO Pandemic Pivot as explained to Simon Sinek:

https://t.co/uLhQetCbC9 https://t.co/kqOYlaZpzi
2020-12-10 $BITW index fund debuts with $120 million in assets under management

https://t.co/dZV73MF8L0
2020-12-10 Model expandability primer / paper

https://t.co/Jap8Loi7IO https://t.co/hRgr9uYG03
2020-12-10 Mlfinlab and Black Litterman portfolio optimization in Python

https://t.co/elcKN9vD6c
2020-12-10 Simple #fake news classifier in Python

https://t.co/O1qW6NfqUx
2020-12-09 From stealth startup to $100M Series A in 9 months by same team that sold Adallom to Microsoft for $320M

#wiz #startup
https://t.co/Tz0T6MVcJh

https://t.co/EbEAqWwr9Z
2020-12-09 @RobinWigg @FD Interesting. How does their enhanced methodology methodology apply to other companies with active securities fraud investigations (eg $TSLA)? Or to their investments with external managers?

https://t.co/opFrXjSA56
2020-12-09 Elon Musk opines on everything between Products and Powerpoint | in WSJ
https://t.co/4lldCHiNro
2020-12-09 #LO - less than one-shot machine learning is profiled in this MIT blog post
https://t.co/rhIenYNi47

#ml
2020-12-09 The Small Exchange (operates as a Designated Contract Market / DCM) Launches New 10-Year Treasury Yield Futures that trade on yield in small denominations appealing to retail and other investors that want simplicity and accessibility. https://t.co/uZAZvE6Qmi
2020-12-08 Hmmm.
https://t.co/6AO0GJWMlA
2020-12-08 Hmmm

BTC for Treasury funds? https://t.co/8O4yVGLGLz
2020-12-07 Covid19 impact on global equity liquidity (213 markets)

https://t.co/s3AcW69TKN
2020-12-07 Re: Over-crowded trade risks
https://t.co/cZhJtgnuoh https://t.co/krPv93A91t
2020-12-06 Normalizing Kalman Filter (NKF) paper

https://t.co/7ALJxEFANI https://t.co/UbOdnzHbZY
2020-12-06 TsEuler - Holoviews Panel based dashboarding tool for Jupyter/ Python exploration of time-series

https://t.co/No5bYPo7T9 https://t.co/w94zXemRNA
2020-12-06 High performance RipTable for optimized Pandas data frames and Numpy Arrays developed for financial quantitative use cases

https://t.co/pTdigDTLRW https://t.co/GaLHBxKT3H
2020-12-06 WIRED on #TEAMS Stalking
#dataprivacy

https://t.co/Vkpcsi5LWE
2020-12-05 Hash Graphs and Bloom Filters algorithms

Article:
https://t.co/Q9GE2dMuQm

Paper:
https://t.co/8ogQwdOAjH

Related code snippet:
https://t.co/jyjsHY78O1
2020-12-05 Antipodes map - tunnel virtually to the other side of the world

https://t.co/wGfpdIvA2M
2020-12-05 McKinsey report on #AI

https://t.co/CXD8wAUkUU https://t.co/QynnHBwpEw
2020-12-05 Dissertation - Machine Learning, Algo Trading and Deep Kalman filters

https://t.co/kNbesIfaOn https://t.co/sPGWzSLm47
2020-12-05 Cross—Asset order imbalance / #flow trading paper

https://t.co/M1fAftM4di https://t.co/1cMXy8xJJD
2020-12-05 Synthetic Data #SDV - tabular and time-series using Python

GitHub:
https://t.co/GTXEbl27M4

Papers:
https://t.co/FBYVeXKvXK

Slack Workspace:
https://t.co/LFD5eMGi4H
2020-12-04 Neural Prophet, a new, easy-to-use petrochemical based automl prediction tool for time-series in Python

https://t.co/TTpQdeOFNT https://t.co/lQde7sGP4G
2020-12-03 @martingund Amazing #dataprivacy thread…
2020-12-03 Informativeness of features in a limit order book #lob model

https://t.co/t4ybIavHtP https://t.co/Bnot3xoU3R
2020-11-30 Accenture on #NeoBank Marketplace Platforms

https://t.co/umiKgV1fJj https://t.co/kcPaVkDg2N
2020-11-30 Digital Challenger Banks (in Asia) - Drivers and Success Factors - #BCG Report

https://t.co/ZW0CTYEUcp https://t.co/0HESKocnZM
2020-11-30 Bias in effective bid-ask spread - #TCA research by @bjornhagstromer

Summary:
https://t.co/scGf4X0IlC

Paper:
https://t.co/bQjPmTLNGY

#RStats code:
https://t.co/LpY6fUQQFs https://t.co/5LFUs3x72v
2020-11-30 Liquidity #proxies - market and funding compare and contrast with other proxies • paper

https://t.co/OHhw6chAwh

#TCA https://t.co/p7sU4jwhFP
2020-11-29 Going from network based data to cleaned and featured rectangular data for machine learning classification and prediction is discussed in this #RStats post
https://t.co/EUfUIIcd8A
2020-11-29 #TCA Paper models the price (market) impact of a bond trade on term structure of rates

https://t.co/7atZltoDRd https://t.co/fsUbdknDYO
2020-11-28 Datification of work patents (Microsoft)
https://t.co/OFdvrPWgZ9
2020-11-28 Delta One Trading Strategy notes

https://t.co/q6m04DThaW
2020-11-28 State Street update on ETF Trading volumes

https://t.co/kXTKCDNELP

#flow https://t.co/5YANrx7Hn0
2020-11-28 SIFMA update on trading volumes

https://t.co/kXTKCDNELP

#flow https://t.co/OZta216dOw
2020-11-28 #WIRED opinion: “AI is best understood as a political and social ideology rather than as a basket of algorithms. The core of the ideology is that a suite of technologies, designed by a small technical elite, can and should become autonomous…”

https://t.co/Xvc2qTA5WB
2020-11-28 Hummingbird - compiling ML Ops into DAG / Tensors for performance / efficiency </br>
#ml Paper:
https://t.co/IsrAK0u56z

Python GitHub - Microsoft
https://t.co/LlKTmpzjN8 https://t.co/37Baz94HcP
2020-11-28 Trading signals from a 4-state Markov-Switching model of bid-ask liquidity in limit order books - #lob #hft paper

https://t.co/bIaJpu38PT https://t.co/1esSl1lwMO
2020-11-27 Quadratic Hawkes for #lob modeling - paper

https://t.co/Net6at5mRJ https://t.co/qvLkLaTKBF
2020-11-26 Trading Volatility - Correlation, Term Structure and Skew (2014) #ebook

https://t.co/sp14oebAED
2020-11-25 Partial Correlation Financial Networks are less stable but may be useful in some data explorations…

Paper:
https://t.co/DONLgC9xkn

Python Github:
https://t.co/uxCFzBJ1He

#paperswithcode #reproducible https://t.co/08hP3YIufM
2020-11-25 Short Interest Surprise
Paper

https://t.co/oP2DjNnlkl

#alpha #indicator #quant https://t.co/aSFyiheclL
2020-11-25 Paper compares up/down classification performance for Bitcoin using ARIMA, Prophet and other machine learning techniques and technical features - as you might expect, unremarkable results

https://t.co/eUScAuQYop https://t.co/OfAiXyzxdv
2020-11-25 in this paper, volume dynamics for high-beta stocks around FOMC announcements are linked to discretionary liquidity trading resulting from the presence of private information.

https://t.co/bqOLH667gk
2020-11-25 @WolfieChristl Interesting thread on worker datafication…
2020-11-25 Grinch Bots are all the rage

https://t.co/sCjfptQLrL https://t.co/truzHGXx6R
2020-11-24 Physical intuition for time series analysis using springs in Regressions and PCA.

#rstats
https://t.co/ewVoBgu29g https://t.co/x8pBxgbcfL
2020-11-24 FinRL

Toolkit for simple stock trading strategies using machine learning with Gym, TensorFlow and leverages Pyfolio for backtesting

Paper:
https://t.co/Fzs4GyTfD6

Python GitHub:
https://t.co/943dtLJF9C

Colab Notebooks:
https://t.co/bDJvWLq4v5

https://t.co/iFDGEYa8kf https://t.co/PTVIIhuaGB
2020-11-21 Paper: option pricing using factor dynamics

https://t.co/yYn3TTlqD1 https://t.co/uhSkhOjZfh
2020-11-21 Starboard Jupystar - run Jupyter notebooks in a browser (experimental)

https://t.co/UwF2RCbyi9 https://t.co/TOh2IArwOb
2020-11-20 Python code to help Predict Stock Price Jumps

https://t.co/D0whCwtu77

#anomaly
2020-11-20 Realized Volatility…

https://t.co/fXtdEA8fXg https://t.co/y8TM5yGbL3
2020-11-20 T5 - transfer learning in Colab notebooks

Text-To-Text Transformer
https://t.co/w4L3pIc5wr

Text-To-GraphQL Transformer
https://t.co/s0pt5DaFrp

Summary Generation
https://t.co/qGBWVe8ne5

Sentiment Span Expansion
https://t.co/xyI39qp6Eh

Original 🤗
https://t.co/MwXeymMvMT
2020-11-19 Closing auctions for stocks, imbalance and other liquidity and price measures - #TCA paper

https://t.co/uGdSkPL1OJ https://t.co/MoTG5NH7DF
2020-11-19 AI in Finance | by @gilliantett in FT

https://t.co/7HIHs6sNLb
2020-11-19 A good summary of off-exchange stock trading micro-structure and dynamics
https://t.co/u6LmywJSDD
2020-11-18 Probabilistic model of NBA Draft Picks becoming Stars

https://t.co/JuD0KhFEDb

Other Bayesian / NBA / WNBA analytical posts:
https://t.co/s6L1g0YQ8b

.@jessefischer33
2020-11-18 A course in Time Series Analysis #ebook

https://t.co/NIreVt9PUL

DWT, Fourier, Forecasts with finite pasts…
2020-11-18 What could possibly go wrong?

https://t.co/vQyrAL5CHJ https://t.co/WAzgyRyuNi
2020-11-17 Correlation dynamics paper
#BCBS

https://t.co/fr5ws1SZbK https://t.co/d8VIIc25oe
2020-11-17 3,775 page 1.2M word hyperlinked so-called Basketball Manifesto - NBA, G-League

https://t.co/ApgXRM74Z7
2020-11-17 Google’s Monarch - ‘Monarch is a planet-scale, multi-tenant in-memory time series database that manages trillions of time series.’

VLDB Paper

https://t.co/rt78IExJuN https://t.co/TLvyDipSY6
2020-11-17 Kaggle Jupyter Notebook Stock EDA and Price Prediction

https://t.co/9sOszrqurA https://t.co/OfHkBaP9Ne
2020-11-15 Liquidity dynamics before stock price jumps - #ml classification paper

https://t.co/urjPWv7gKN https://t.co/9yiggYn0WX
2020-11-12 Covid-19 Event Risk Calculator
https://t.co/F3fAvjpVwy
2020-11-12 Corporate resiliency to Covid-19 modeled in this Refinitiv Starmine post

https://t.co/AlFT2pvGJh
2020-11-12 “A high Sharpe ratio is a simulacrum of success. Yet what gets measured may have no relationship to what we really want to know.

We have become the tool of our tool."
https://t.co/rwPNzlILFv
2020-11-11 Bitcoin supply / distribution flows analysis
https://t.co/LPsBIdgn26 https://t.co/11gPukyZOL
2020-11-11 HBR - a short perspective on Data Trusts and their potential impact on IoT and AI
https://t.co/jsLNX9vwAp
2020-11-10 Quantine Factor Models - for capturing higher dimensionality - paper

https://t.co/ok99r59abU
2020-11-10 Modeling Letters of Credit Risk - paper

https://t.co/XUJ6LXTyPe https://t.co/I9TegIJ6dT
2020-11-10 Thoughtful insights around Kraken, a Crypto SPDI-chartered Neobank - Risks abound
https://t.co/rl46jPk17K
2020-11-10 State-Varying Factor Models - paper with measures of state changes

https://t.co/LPUTJ5ypbs https://t.co/FI5plrQg7S
2020-11-10 Tick data with directional change based on threshold breech - short paper describes the method

https://t.co/dbsD2xnAyF https://t.co/54MR3BZu1R
2020-11-09 Hmmm.

Kew Gardens Interchange project - ongoing since August 18, 2010
https://t.co/Qq0u93nqWf

Vs a similar weekend highway construction project in the Netherlands
https://t.co/R9iqxOaDsR https://t.co/tAbqPdNlvZ
2020-11-09 Survival Analysis applied to NBA Draft

Shiny App: https://t.co/5iPoCb69jn

Python / GitHub:
https://t.co/UXYYkDQJSo
2020-11-07 Excellent interactive #dataviz and coronavirus stats for Long Island - comparisons with NYC, employment and other impact, with town, county aggregations #newsday

https://t.co/4PC9zFa610
2020-11-07 Very cool and timely interactive radial decision tree #dataviz in javascript by @kerryrodden

https://t.co/7wxJoERbsK https://t.co/qznQnTf6eb
2020-11-07 Deep Momentum Networks – ‘a hybrid class of deep learning models which retain the volatility scaling framework of time series momentum strategies while using deep neural networks to output position targeting trading signals.’

https://t.co/mY5rQU6JvW
2020-11-04 Ktrain - New tensor flow / Python wrapper with pre-canned models for text, vision, graph, and tabular data:

https://t.co/mhVmi7pFum https://t.co/RsifVxUZzj
2020-11-04 Data Markets
Paper

https://t.co/STP9D4GB4A https://t.co/dATDfSpJCW
2020-11-03 Hmmm.
https://t.co/gwoi2VyqvH
2020-11-02 ETF #flow and returns analysis deconstructed - report

https://t.co/aL6WxDQYle
2020-11-02 ETF Pairs Trading paper

https://t.co/jYQnSjQNZh https://t.co/Wlv6SFJdtc
2020-11-02 Deep Q - optimal FX rule-based trading using candles

https://t.co/NOZRkEO4rj https://t.co/brmbQBxUCt
2020-11-02 Election night prediction models with R #rstats or Python code

Original R source:
https://t.co/QjWNVENYmJ

Python variant:
https://t.co/Xuglwe5Fjp
2020-11-02 Information Share high frequency trading price distribution metrics proposed - DAG-IS and IC-IS

https://t.co/ltzEyeisJc https://t.co/uNrrlafxEK
2020-11-02 Genesis, and their crypto lending business profiled…
https://t.co/0pPQYlBcpL
2020-10-31 Using EAI to detect COVID-19 assumption attic cases by clues embedded in the way those infected cough

https://t.co/SSU2Hzggyd
2020-10-31 Measuring digital strategy from earnings calls - #NLP paper

https://t.co/wpcCMkdmZp https://t.co/BOMqj3f022
2020-10-29 Gdynia is a beautiful, vibrant city in Poland and a key talent hub for Refinitiv.

If you know markets and Python and want to drive the next generation of financial applications in Gdynia, please don’t hesitate to apply:

https://t.co/Wfaw1P3CjT
2020-10-29 Lobe

A low-code #AI modeling framework - predictions and classifications with no code or minimal code

No-code UI:
https://t.co/P7GF0qWM81

Minimal Python code;
https://t.co/UTSCFEM0EY
2020-10-29 Agent based supply-chain management #SCM modeled in this paper

https://t.co/6szWYJKeHS https://t.co/hFW9KPHUd5
2020-10-29 Deep Q - optimal TWAP trading using reinforcement learning - algorithmic trading paper

https://t.co/LCOBx6Vo91 https://t.co/D41mQbWruz
2020-10-28 AI, Covid19 and the decline of human labor…
https://t.co/YTbqIWZHSO
2020-10-27 Washington Post article on a coterie of infomediaries: Aristotle, Data Trust, Cambridge Analytica and Facebook and how they data mine for political skews and message targeting

https://t.co/W8qefvdbG9
2020-10-27 Dividends and Pandemics - paper

https://t.co/yEmki80SmK https://t.co/cuIXSKsPai
2020-10-25 Daniel Masters opines on Crypto, Stablecoins, Coin (securities) financing and future of Banking

https://t.co/9OxU9Pu7qZ
2020-10-24 AutoGOAL is a Python framework for Automated Machine Learning pre-packaged with hundreds of low-level machine learning algorithms that can be automatically assembled into pipelines for different problems.

https://t.co/s44mEaZICI

#ml #automl https://t.co/ibgkTHJYpw
2020-10-23 Insightful analysis on Google vs US incorporating political motivations

https://t.co/JsVluVMRGv
2020-10-23 US vs Google - in Stratechery
https://t.co/oEDxsfeTDw
2020-10-22 Technical Quality in Code

https://t.co/UQagKGvkfT
2020-10-21 FT on commercial impact of AI
https://t.co/00Ua6IepPQ https://t.co/YvhUVRxciR
2020-10-20 Paper analyzes incremental benefit of including Twitter sentiment with other features/signals in a Kaggle trading competition

https://t.co/HyfheMwZtw
2020-10-20 Continuous Trend Label (CTL) for stock price classification - #ml paper

https://t.co/TSOEWsLzDW https://t.co/6iUvbEdmjf
2020-10-19 Epps effects, high frequency trading asynchrony paper

Malliavin-Mancino estimator

https://t.co/TF60lMy9gT

#hft https://t.co/isn49FKnFh
2020-10-18 Emerging Architectures for Modern Data Infrastructure
by Andreessen Horowitz

Diagrams:
https://t.co/sUXMhiJ6WA

Article: https://t.co/wReWSXYm1X
2020-10-17 Predictions using LSTM applied to features extracted from crypto trade data

https://t.co/KqLA74QPG3 https://t.co/VmzM5Z9gov
2020-10-16 Reversal returns analysis across emerging markets - paper

https://t.co/dHALFK9Uuf https://t.co/eUec4D224x
2020-10-11 Platform Liquidity

https://t.co/fPkrBsVHKV
2020-10-10 The science behind face mask protection #covid19 https://t.co/hOvMTER8Sj
2020-10-10 Simple directional change risk measures for intraday-day trading - paper

https://t.co/Zb7jhLg33D https://t.co/D4q8YCIID8
2020-10-10 ML Primer #ebook

https://t.co/wyXIavX3HL
2020-10-10 Analyzing various optimizer characteristics and their performance for deep learning is the subject of this paper

https://t.co/EUUUJPlJwe https://t.co/KLQqxcLE2H
2020-10-10 @indika1337 @QuantRob LoL!
2020-10-09 Companies in Data infrastructure, Data Engineering, Data Warehouses and Data ML:
https://t.co/8GzlmQELv2 https://t.co/tG5ujRzmy5
2020-10-09 Crypto deep learning based limit order book model

#lob paper

https://t.co/mjFvA4Ze1Q https://t.co/6e0k1oQiHq
2020-10-09 Modeling the dark side of stock exchange speed bumps

https://t.co/SKWKYCTALG

#TCA market microstructure https://t.co/eNLowLOH1v
2020-10-09 Hmmmm. Mmhmm.

https://t.co/XuqsnHjeia
2020-10-08 Financial Services Outlook report by PWC

https://t.co/1HQVkRvrv2 https://t.co/jSjCSxYxc3
2020-10-08 Futures and Options index trading with LSTM and Kelly criterion

https://t.co/BfCjMjhlne https://t.co/YI9yOXJYtF
2020-10-08 Capco report on robot process innovation #RPI and trade lifecycle automation

https://t.co/XdsVxBw231 https://t.co/PTKhGe8Grk
2020-10-06 Using Wasserstein distance with other stylized facts to isolate spoofing behavior in institutional trading - paper

https://t.co/85VhuSqJ1O

#lob https://t.co/OgUM6EIYHp
2020-10-05 Mlfinlab 0.14 released with #Synthetic Data generation

https://t.co/kuHGbplZlt https://t.co/OL5svSCRvB
2020-10-04 CausalImpact in R:
Bayesian inference of time series

Google #rstats Library

Medium article: https://t.co/N1cR6JS7jF

Google Github:
https://t.co/Uvuy9ANBiJ
2020-10-03 VIX vs EPU to predict international stock volatility - paper

https://t.co/gJ8Lo0aPyk https://t.co/kBIhxeQyxn
2020-10-03 MovingPandas #geo Python library

https://t.co/pXX6szJta3 https://t.co/BWqSzEmje8
2020-10-03 Paper on DEX Automated Market Making #AMM #DeFi

#Crypto attack vectors discussed: rushing adversary, sandwich attacks, multiple threats

https://t.co/dbY0pXQQUR https://t.co/K5Iih3Ozcx
2020-10-03 CLI machine learning tool - train/fit, evaluate and use models without writing code. Instead, provide declarative descriptions in a simple yaml file.

https://t.co/Hczmt1O9tW
#Python https://t.co/mujVgp91te
2020-10-03 #HFT Dissertation

High Frequency Computerized Trading Strategies Engineering in Financial Markets

https://t.co/4hv9Pqmgub https://t.co/y2Bm1nxhCo
2020-09-28 QLib - by Microsoft Research
Investment Platform based on #AI principles

Paper:
https://t.co/iB3WWP9eyk

GitHub:
https://t.co/ezpuzlJfiw https://t.co/2uBsOduGrH
2020-09-28 When is a FAMA factor not a factor after all?
https://t.co/Uv7m68iNY2
2020-09-28 FinancePy library for derivatives pricing using Python and Numba by EDHEC Professor.

https://t.co/FsZeDOr8KA
2020-09-27 PDE, functional deep-learning approach to optimal trading in the presence of aversion to market impact - paper

https://t.co/NN694Y6ji0

#TCA https://t.co/1DAdepDZ4k
2020-09-27 Synthetic, Bayesian time series generation

GitHub:
https://t.co/Z8b8hbajsN

Paper:
https://t.co/eKgMKZ755d

Article:
https://t.co/RUWRISepxp
2020-09-27 TSAUG - time series feature augmentation - warping, quantizing,…

https://t.co/IEsvNk2JlG

#audio https://t.co/v7EroIaz0o
2020-09-27 Monetizing an open-source core - startup cap-table implied valuation

https://t.co/5jHy5WuurX https://t.co/RviScJgXNq
2020-09-26 Several Venture Capital Funds list their startup focus lists https://t.co/LlwWvZRdoe
2020-09-26 Autograd for differentiable programming in Python
https://t.co/41OHEpHnYv
2020-09-25 Outliers can be defined in many ways from the super-simple time-series z-scores to market-shifts using machine learning - this paper:
https://t.co/N2H6paswrw https://t.co/6pjP2yxrgf
2020-09-25 Automated, algorithmic Governance for DeFi - profile of Gauntlet Networks
https://t.co/RoUBcPfOsE

#crypto
2020-09-25 Boba, an open-source Python based analytics platform for multi-verse visualization, creation and comparison of analytics

[Ironically, Boba means simple-minded in Spanish]

Paper:
https://t.co/IiwpVQMgwj

Github:
https://t.co/h8gh7tfg12 https://t.co/I0zou3BpBx
2020-09-25 Just a few questions…

https://t.co/pVcmyzWNVr
2020-09-25 Hmmm.

https://t.co/lFd2PWij6K
2020-09-25 #Crypto bid-ask spreads as a (albeit, weak) proxy for #Liquidity

#BAS
https://t.co/Y5wEEWrsjD https://t.co/qyRy4HhsHX
2020-09-25 Pricing #Crypto Options using stochastic volatility with humps and intra-day data

https://t.co/KqxakXnV4m https://t.co/0VqbPP8zwu
2020-09-25 Neural Architecture Search #NAS and #AI code generation

https://t.co/61CSWAtS9K https://t.co/5HyJoQBr3w
2020-09-24 The title of the HBR article on next gen AI does not cover the embedded article point that new AI trained algorithms like ‘GPT-3 can also code’ as a byproduct of being trained on code too, albeit in limited ways.
https://t.co/jnsYxL89GU
2020-09-23 Optimal Execution and market impact vs risk dynamics of trading electricity intraday, along with median bid ask spreads #BAS and #LOB discretization

Commodity #TCA Paper

https://t.co/5wDs5jLjpk https://t.co/Fhfnrj83He
2020-09-21 McFly - automated deep learning time-series classifications

Paper:
https://t.co/oVKIynS9KM

GitHub:
https://t.co/ONwGW8FxjV https://t.co/AEcioxxpXv
2020-09-20 Prefect for Pythonic automation of data science flows and aggregations

Article:
https://t.co/brHEbyvby2

GitHub:
https://t.co/iOWewZCQNE
2020-09-20 “Just The Maths”

Massive collection of concise PDF files on every major math topic
https://t.co/31jwA3IMPa https://t.co/r4HhHHTZHR
2020-09-20 Financial Transactions Taxes | Cato Institute opines
https://t.co/dYy2lF1xp5
2020-09-19 TensorFlow Probability
With Lending Club data
To model distributions of outcomes and R code
#rstats
https://t.co/bJlfJQ5wo2
2020-09-19 Network structures of cryptocurrency open source projects - paper

https://t.co/nTKs6WWAH6 https://t.co/CjthxCeUSx
2020-09-19 Deep-Switching Autoregressive framework (DSARF) for Bayesian Networks applied to time-series - paper discusses a deep generative model for spatio-temporal data with the capability to unravel recurring patterns

Paper:
https://t.co/lKQH20VALd

Python code:
https://t.co/WrWo85m21R https://t.co/ZeTg3atgxw
2020-09-18 Optimal Execution (mean reversion) using mlfinlab

Article: https://t.co/UQwSnL6VSk

And
https://t.co/eTLY7RfQUu

Mlfinlab Python Github:
https://t.co/kuHGbplZlt https://t.co/DPLIQ5GgWF
2020-09-18 McKinsey on Covid impact on FinTech - European vs Global focus - report

https://t.co/95gyeybnpK https://t.co/UpUKTWXnKL
2020-09-18 Covid impact on various FinTech subsectors charted by a16z
https://t.co/ZyZStAtkHz
2020-09-17 Billionaire investor Ray Dalio on capitalism’s crisis: The world is going to change ‘in shocking ways’ in the next five years

“Capitalism also produces large wealth gaps that produce opportunity gaps, which threaten the system,”
https://t.co/05Dr7a8mpo
2020-09-17 Numpy gets props in Nature Magazine
https://t.co/hfO7I3n6W6

#Python https://t.co/In9oldlVZX
2020-09-16 And so it begins…

https://t.co/9S3Vp6S0Rw
2020-09-16 Google Colabs, Python, a little GAN and … Shazam,
Toonification

https://t.co/AEtVFkR9G8 https://t.co/lxZgWXBkQ1
2020-09-16 IPOs vs SPACs vs Direct Listings profiled here

https://t.co/4HnTKKmMDf https://t.co/eSHcKYQtet
2020-09-16 Kraken is launching a crypto bank in Wyoming with the ability to perform limited banking functions such as wire transfers. https://t.co/mIjrDvwSQo
2020-09-16 NBA Fans who are data science believers will love this new web app

https://t.co/sZLXAlsKnx https://t.co/y3EnsntT1Q
2020-09-16 Crypto paper - market microstructure - 24/7 trading, decentralized, facilitating traders are not essential, and microstructure stylized facts

https://t.co/U0XKXQOuGC
2020-09-16 Data Science Podcasts and the embedded Python code used to find them in this blog post

https://t.co/vrFtODmjR3
2020-09-14 Peak Oil?!
https://t.co/E5nPiBeWTR
2020-09-14 AutoTS for Python based time-series model selection is a meta- abstraction above several other popular time series tools

Github:
https://t.co/0cm8hGq2I1

Article:
https://t.co/dzS6vcl5TH https://t.co/ElUogJl5o3
2020-09-13 COMmonsEnse Transformers (COMET) in Python with Datasets - automatic commonsense knowledge base completion #NLP #Graph

Paper:
https://t.co/3utn2UdfiW

Github:
https://t.co/B5Vc9ujdgA

#Tensorflow #Spacy
2020-09-13 Forensic Genomics - ‘Parabon says it can now sequence enough SNPs to trace family history and build a face with less than 1 nanogram of DNA.'
https://t.co/URpgjL0C9s https://t.co/qlo5LJhveR
2020-09-13 JPMorgan will be Trading Pre-IPO unicorn shares
https://t.co/550fVoqE8A
2020-09-13 Hacking physical tumbler locks by mapping the sound the key makes when it is inserted to a predicted replica.

https://t.co/K1hglUkcJv

#cybersecurity https://t.co/xB3oAjD6MH
2020-09-12 Defragmenting dataframes and tensors and the complex ecosystems that support them is an enormous challenge….
https://t.co/ncUSNr8nUO
2020-09-12 Tensor factorization for correlation of stocks

The static components represent the stock covariances in the latent space. These factors give information on the linkages between stocks and its magnitude.

Hidden Correlation Matrix #HCM - paper

https://t.co/FlQcEaRHRD https://t.co/Kc0ASlgjfd
2020-09-12 Liquidity formula for exchange traded stocks differentiates buy and sell dynamics - paper

https://t.co/SuCO6YMKrv https://t.co/FRzcBGlyLh
2020-09-12 Futures momentum papers

Leveraged, ETF and equity, commodity and other futures

https://t.co/bCNQWHqZjC https://t.co/x5ggJdVDsC
2020-09-12 China stocks and investor behavior - sentiment, liquidity and information signals

https://t.co/orz9y5VTGp https://t.co/ZGiwRe9LJG
2020-09-12 #TCA for stocks is explored in this paper with conventional and alternate parametric curve-fit market impact modeling (eg not using machine or deep learning)

https://t.co/L4m7cuG9mo https://t.co/ONQodPeffr
2020-09-12 Pandas is not optimized for many use cases - real-time streaming, machine-learning sequence mapping machine learning, grid editing, massive in memory datasets, but with over 3k documented pages of features - it is still the first go-to tool

https://t.co/1ZgfT21yrb https://t.co/meFcm4cyvj
2020-09-12 #FX #Liquidity risk paper

https://t.co/mzrjqypugu https://t.co/s2YdrTahkK
2020-09-12 Intraday dynamics of #Cryptos - seasonality, volatility, algorithmic trading dynamics

https://t.co/U0XKXQOuGC https://t.co/76qCrtjoo5
2020-09-12 Opacus - PyTorch model training with differential privacy

https://t.co/NUv1ICJnJP

https://t.co/JUQymjIo7g
2020-09-12 Agent based #lob limit order book model with informed trader, noise trader, informed market makers and noise market makers - paper

https://t.co/LW0uPCL7Zt https://t.co/uqvCLKVqtG
2020-09-12 Portfolio trading risk open source Python in #eiten

https://t.co/2645mPDvXK https://t.co/frLkk8kkNo
2020-09-11 Pytorch Lightning based Bolts is just released to subclass and iterate on using Python

Bolts is a Deep learning research and production toolbox of:

- SOTA pretrained models.
- Model components.
- Callbacks.
- Losses.
- Datasets.
https://t.co/rCLJ6iAni6

https://t.co/5hS4CEuJUZ
2020-09-11 The ‘office economy’ and innovations that will accelerate its disruption
https://t.co/VXOUGMa7IZ
2020-09-10 Slobalization and Multipolarity are two Morgan Stanley predicted outcomes for post Covid19 world order

https://t.co/MqDhpeUMar
2020-09-10 Good short intro to #PyTorch for data science in Python

https://t.co/4nGYFVqNSa
2020-09-10 Curated #Covid19 Tweets

https://t.co/RyayzYCtec https://t.co/99dcSgwo7a
2020-09-10 News content analytics project
#Stanford #TV #News #Analyzer

https://t.co/dCvHhd74Fk https://t.co/GUDYJ4UyDB
2020-09-08 @StarTrek @CBSAllAccess We Khannnn appreciate #StarTrekDay especially when #StarTrekUnitedGives https://t.co/hNhhWwddxm
2020-09-08 @StarTrek @CBSAllAccess Live long and prosper 🖖 by following social distancing protocols -

Love #StarTrekDay https://t.co/PjAi7k6GIn
2020-09-08 VC funding for startups analyzed with machine learning techniques - #XGBoost - paper

https://t.co/umYT0w9FAv https://t.co/26p71ptahP
2020-09-07 Dissertation on time-series changepoint techniques

https://t.co/avOC3GFazt https://t.co/QAiY9BQ18W
2020-09-07 Modeling extreme adverse stock price moves - paper

https://t.co/ewKkSqfqYs https://t.co/3rzQnPgfH5
2020-09-07 A Course in Time Series Analysis #ebook

https://t.co/NIreVt9PUL https://t.co/FzuPnPLwRM
2020-09-07 Liquidity depth and spread factor risk, currency betas and FX returns empirically analyzed in this paper

https://t.co/mzrjqypugu
2020-09-07 Simple analytical approximations for options algorithmic market making #AMM and delta-one inventory / risk management - paper

https://t.co/QFZeyxjEyZ https://t.co/ygpNwvmik0
2020-09-07 Time series imaging and #ml feature engineering - paper

https://t.co/ZyAz2GFBv4 https://t.co/i8ZcW6TG8O
2020-09-04 Supercomputers, #Covid19 and the Bradykinin hypothesis
https://t.co/uc96AdJ9Dl
2020-09-02 Liquidity adjusted VaR for China Index futures and other liquidity measures paper

https://t.co/eBAwcVDzSQ https://t.co/4touIzOhrQ
2020-09-02 Quantum OS | profiled in FT

https://t.co/zuz1fMOuiH https://t.co/40RM5vGC3j
2020-09-02 Implosion of the office economy…

Article:
https://t.co/exYEUx59LF

Related Paper:
https://t.co/L7wQ3P0unB
2020-09-01 Brilliant interactive #Dataviz in NYT of election battleground states
https://t.co/ql7yLk8YOt
2020-09-01 Network latency and impact on high frequency trading agents are modeled in this paper

https://t.co/jpGhcLHAiP

#hft https://t.co/mt1uTfidYa
2020-09-01 Trading Algorithm Optimizer called TradAO described in this paper

https://t.co/riqwN1WsvW https://t.co/lkQPvpjFxa
2020-08-30 Useful tips to optimize Python pandas code - performance and resource metrics, vectorization

https://t.co/yGWGPrRiy1

There are, of course alternatives to Pandas - vaex and pandapy https://t.co/J1HYF61ffI that come in with built-in optimizations for #BigData and #Smalldata
2020-08-29 The Joy of Cryptography #ebook
https://t.co/FTTavlZlFe https://t.co/ShePA7zNoE
2020-08-29 ‘the effective bid-ask spread, dramatically underestimates the true cost of immediacy because it does not account for failed attempts to trade [CLOs].’

#liquidity #tca

https://t.co/Op49htaH4b
2020-08-29 Refinitiv’s Social Media Top 100 list

https://t.co/SEmJpNTzUj
2020-08-29 Twitter content, google search volume, news #flow, volume volatility and decomposition and stock index pricing - paper with embedded Matlab code

https://t.co/uCsG1nFIHj https://t.co/R8pxlcRk3b
2020-08-28 Dynamic term structure models with time-dependent parameters using parsimonious parametric representations

https://t.co/LYhMoD31dx https://t.co/0FCvDDWm7s
2020-08-27 Machine learning for factor investing #ebook with tidy #rstats code explores topics such as portfolio back testing and ensemble methods

https://t.co/k294jqST8p https://t.co/ba0LV0vq2Q
2020-08-27 Bond liquidity and synchronized returns modeled in this paper

https://t.co/WkmZkeUX2y

#tca #amihud https://t.co/aOm2vckFk6
2020-08-27 Paper models liquidity across asset classes in a consistent way

https://t.co/azCF3G2Hid

#tca https://t.co/RnJ1h14WMY
2020-08-26 JP Morgan provides a glimpse of emerging part-time WFH strategy and impact on backup office sites and other anticipated commercial real-estate saves
https://t.co/2faVbEfWAW
2020-08-26 FT on fixed income ETFs

https://t.co/FeI8EE40qH https://t.co/RIYjvNq45X
2020-08-26 A simulation-and-regression method for solving portfolio allocation problems with general transaction costs, temporary liquidity costs and permanent market impacts - #TCA and #OptimalTrading paper

https://t.co/1OLTOw7ceT https://t.co/zUtfSDzJtK
2020-08-26 Stock market clock synchronization, drift and uncertainty explained in this short paper

https://t.co/mP1mqw334L https://t.co/p8pClmFNMa
2020-08-26 ESG aggregate #Flow

https://t.co/llky304Ddi https://t.co/wNKXYpgXTc
2020-08-26 A practitioner perspective on acceleration of AI
#GPT3 #GAN #ML https://t.co/qJq4j2QCdk
2020-08-25 @risingodegua Budding ecosystem for Javascript contained in a Jupyter notebook-like environment https://t.co/yucqgNKNJ7 along with data structures for Tensorflow and data management here: https://t.co/y1bl8WHeYo

Shoutout to @risingodegua
2020-08-25 Re: FinTech Digitized Disruption

“The biggest impact of digital account opening was significantly lowering the cost of origination, which unlocked the ability to create entirely new digital lending products."

https://t.co/W6yqNtvARF
2020-08-25 JPMorgan divests Quorum to ConsenSys

https://t.co/NwT4v7SSSU

#blockchain #Codefi
2020-08-25 Evolutionary states of stock prices captured in graphs and a GNN model -EvoNet described in this paper

#anomaly detection

https://t.co/Sti0dk0M1O https://t.co/AzZ07ygaze
2020-08-25 WFH Dynamics explored

https://t.co/UypMZYzzuW https://t.co/uyTe3g6QM9
2020-08-25 Handcalcs - auto rendering of Python formulas in Jupyter

https://t.co/Jcq9S2Iyl8 https://t.co/lXJcdSLIhy
2020-08-25 A Stopped Scaled Brownian Bridge Model for Futures-Spot Basis Trading explored in this short article (with reference links to papers on basis trading)
https://t.co/McPRfA4von
2020-08-24 Much ado about Macro

https://t.co/yQz4Qu5pOt https://t.co/nwlUWoavTr
2020-08-23 #AI Overhang?
#GPT3

https://t.co/9UGMnK4Bi7
2020-08-22 And this related post in streamlit in google #colab

https://t.co/9HVm6E5Wfn
2020-08-22 Using streamlit on Google #Colab hack

https://t.co/7BObVtdV11

https://t.co/TTHgkGzWDp
2020-08-22 Thought provoking essay on the future of decentralized #work
https://t.co/JRlkwLpAFv
2020-08-22 #NLP applied to Crude oil price prediction - paper
#topicintensity #sentiment

https://t.co/tbHrNFLZgy

Related #SeaNMF Python code for short text topic modeling
https://t.co/O9nITt4Q85

#WTI https://t.co/agZ86kQssD
2020-08-21 Trading polarity, market emotion and other analytical imbalance measures profiled in this paper (stock market in China)

https://t.co/UX30IgL6dn https://t.co/3RN3ZKDxTT
2020-08-18 ‘information contained in the first earnings announcement in an industry generates new information for the industry and this information affects peer firms in the same industry.’

- alas, older data set #anomaly stock

https://t.co/p4CAi4no9o https://t.co/5WgJ6YIOr5
2020-08-18 Noisy stock price time series, CNNs and Discrete Wave Transforms to refine signals - paper

https://t.co/bwiACakAti https://t.co/yqIjKgojyS
2020-08-18 #Liquidity dynamics and jump measures for stocks - paper

https://t.co/FeEhhr1yim https://t.co/krAL29gcKW
2020-08-17 Hmmm.

USPS 47 page patent application for blockchain based voting system

https://t.co/aOHgr8mUeC
2020-08-17 AI-powered hedge funds have outpaced average hedge fund returns by 3x

https://t.co/dXam1jZNMS
2020-08-16 Key challenges in using machine learning for trading surveillance (e.g. bias, black box, unstructured communications) - FMSB report

https://t.co/nCy3vlJzB3
2020-08-16 When value investing is short disruption and sector definitions become obsolete, you entered the new reality zone - short blog post
https://t.co/7rrDVuCI56 https://t.co/TNmLxjC1GE
2020-08-16 Build publication quality books with Jupyter notebooks (with online interactive notebooks) using just markdown, Python and a minimal CLI.

https://t.co/nV40O2IT1K https://t.co/rsz9moseD4
2020-08-15 Latest portfolio optimization papers analyzed…

https://t.co/Rp6oTw6C6f https://t.co/dfZ3zTYGhh
2020-08-15 The relationship between COVID-19 micro blogger sentiment and trading costs for ASX stocks - #tca paper

https://t.co/AL00LMvOcQ https://t.co/EkDrPAFfhK
2020-08-15 Trading optimization for portfolios integrating trading costs and other features: #ml #tca paper

https://t.co/1OLTOw7ceT https://t.co/DsRLvOwypD
2020-08-15 Deep learning based models of limit order books
#lob paper

https://t.co/9bnySu3CB0 https://t.co/GtG7o1pN1g
2020-08-15 Paper analyzes trade size impact in information in high frequency trading using (older) NASDAQ #HFT Data Set

https://t.co/AzjWi7GRte
2020-08-12 Macro-factors and realized volatility network analysis in commodities - paper

https://t.co/eK3uAegzga https://t.co/NW1jBN43sq
2020-08-10 Seasonality modeling on time-series using DE4S discussed in this paper:
https://t.co/UVS8bOf2nk

And coded in Python here:
https://t.co/NPsyQnLcCu https://t.co/nRUKZFqw9W
2020-08-09 Machine learning based credit scoring - #ml paper

https://t.co/gfyPRkk0vA https://t.co/QsHpQEj6cz
2020-08-09 Dark Pools, execution optimization and quantitative finance - paper

https://t.co/3Es2iUnDbV https://t.co/1SBlJg5NaA
2020-08-08 #GPT-3 authored roast / poem on Elon Musk in the style of Dr. Seuss

https://t.co/Kq3NvhpLBT https://t.co/cVssE4g6y7
2020-08-07 Reinforcement Learning abstracting away differences between TensorFlow and PyTorch
https://t.co/7zYODUQmGI

#ml #Python https://t.co/5l3gkxZEDs
2020-08-07 Stratechery opines on TikTok
https://t.co/RkuC8Gf9Mu
2020-08-06 NLP, News and graphical interrelatedness using Python - article

https://t.co/Hoh4xHVUUG https://t.co/EkCVem9AzC
2020-08-06 Glass will be half-empty - #weforum

https://t.co/TONGG8niLp https://t.co/sU2zlVxBQS
2020-08-05 LinkedIn open sources DeText - a Deep Text understanding framework for #NLP based ranking, classification, and language generation.
https://t.co/cww7rEtgaS
2020-08-05 Road blocked,
trees blocking access,
power lines down,
no electricity,
no stove,
no wifi,
no AC,
battery draining,

Maybe a good day for a BBQ and a good book https://t.co/xkKJalTCGG
2020-08-04 @paulportesi @metadiogenes Thanks PAUL
2020-08-04 @metadiogenes @paulportesi https://t.co/4LJVvDTU5p
2020-08-04 @metadiogenes @paulportesi https://t.co/Im7n4tZdIL
2020-08-04 Survey of FX price prediction machine learning methods

https://t.co/8iUPYyxyyO https://t.co/YjZXvyrN2w
2020-08-04 Paper analyzes the linkage between liquidity and spread indicators and COVID-19 sentiment for ASX listed stocks

https://t.co/8iUPYyxyyO https://t.co/BMtPhuOpdY
2020-08-04 Paper on machine learning and cryptocurrency valuation

https://t.co/8iUPYyxyyO https://t.co/3ilre3k6bv
2020-08-04 FMSB and impact of machine learning in FICC - report

https://t.co/bQR5cS7FIW
2020-08-03 Broad analysis of FX Algo Trading in USD/JPY

https://t.co/4zEgPdFDml https://t.co/ZI7M8Fuq0x
2020-08-02 “Patents are an excellent proxy for innovation and patent portfolios are essential for competing in fast-growing new markets."
https://t.co/0UEuA8J30d https://t.co/oL0wRQ6DyG
2020-08-01 GPT-3 and a glimpse of the future of AI

https://t.co/BUtptaTdhR
2020-08-01 Dirac Delta and its use to derive a closed-form model-free option implied volatilities - paper

https://t.co/QynmGn0icu
2020-08-01 Paper models an exponentially risk-averse (or risk-neutral) inside trader who faces a transaction cost per share that is proportional to the size of the order.

https://t.co/m2s8c6tXj1

#TCA https://t.co/lkgkKoBOa6
2020-07-30 Fragmentation in US stocks analysis by NASDAQ research

https://t.co/cPJPMm8Irf https://t.co/KR8exjmC29
2020-07-30 EC suspends obligations to produce (mostly unread) Best-Ex reports #MiFIDII

https://t.co/fkxDeezBT1
2020-07-30 GPT-3 in pictures and GIFs

https://t.co/VGGevt42ht https://t.co/zCA60InM1A
2020-07-30 Unified time-series prediction using HCrystalBall

Source:
https://t.co/sQYk5qyo1e

Article:
https://t.co/CdKBRU51ck
2020-07-30 Open source Cornavirus vaccine

https://t.co/fU2CwKnfuY

https://t.co/Foa2MngDDF https://t.co/ryL32czYRn
2020-07-29 Time-series modeling using Seasonal ARIMA model (SARIMA) tutorial
https://t.co/DfYqo2srxO
2020-07-29 NBA skills as a market
https://t.co/YL7AIJqEib https://t.co/favDlpMXGx
2020-07-26 Fixed income basis trade dynamics - post COVID-19

https://t.co/9YxLVQx1sd https://t.co/6AaqKxaXhl
2020-07-26 Atspy - automl for time-series in Python - as easy as
AutomatedModel(df)

https://t.co/I5sNZAJgRO https://t.co/P4KNkvHecw
2020-07-26 Jupyter, Python, Bayesian and Kalman filters

https://t.co/t12rqZtdyS https://t.co/QXufpT4S97
2020-07-26 Kalman filters, in pictures

https://t.co/ZXGhmbAokZ https://t.co/QKwGyYH25n
2020-07-24 PyGLN: Gated Linear Network implementations for NumPy, PyTorch, TensorFlow and JAX

Source:
https://t.co/3TplzjG9y9

Deepmind paper:
https://t.co/9vuu7phq9x https://t.co/ScpHv4y5nv
2020-07-24 Low-code machine learning in Python using Pycaret:
https://t.co/1YsoSBs5dl

Source:
https://t.co/0J7UGbeMyt

Streamline example:
https://t.co/meLTLj7wBb

Blending models / ensemble:
https://t.co/p6gcJhbDT3
2020-07-23 Implementation of R’s tsfeatures package as a Python library for time-series features

https://t.co/lDpDOePtO6
2020-07-22 MIT designed Covid-19 preventive Masks
https://t.co/1aLMTe4Gtq
2020-07-22 A unified time-series library in Python

Article:
https://t.co/Mhqmt4Jrvg

Source:
https://t.co/YgpShSCQ5a https://t.co/s5yCvrxrX9
2020-07-21 CVaR portfolio optimization paper

https://t.co/RzboLp1jmU
2020-07-21 GPT-3 and traveling faster than the speed of light

https://t.co/CQR8JzvlqH https://t.co/MT7drtBtNg
2020-07-21 Disrupting Skynet using GPT-3

https://t.co/tJz0pkLsJq https://t.co/0MsHRY7NjQ
2020-07-21 @paraschopra @gdb @npew @gwern Disrupting PowerPoint using Gpt-3

https://t.co/tJz0pkLsJq
2020-07-21 UIs in Python using Tensor, PyTorch, GPT-2 or arbitrary Python functions - gradio

https://t.co/yBxHlg6zFx https://t.co/ecpdrADzfF
2020-07-21 Proximal policy optimization applied to limit order book #lob modeling with algorithmic benchmarks

https://t.co/YE2olNznFA

#TCA paper
#lstm #fcm https://t.co/NkNtRspAuG
2020-07-21 Deep limit order book #lob modeling

https://t.co/aqAE0OvqJU https://t.co/HS0t5lmGGk
2020-07-20 @paraschopra @gdb @npew @gwern Disrupting search is yet another GPT-3 target…

#gpt3
2020-07-20 Tokenization of documentary film-making #icebreaker
https://t.co/wki3bV8kX9
2020-07-20 On precision FX hedging for Corporate Treasuries
https://t.co/6aj1x6Ixly
2020-07-20 Computational Graphs

https://t.co/k5qPVZpzbi
2020-07-20 GPT-3 vs Turing
https://t.co/aPOhPuZbx7
2020-07-19 Bitcoin / currency triangular parity arbitrage breakdowns - paper

https://t.co/vjufUpVJi8 https://t.co/ezLgf82NIj
2020-07-19 Self-referential Ode to OpenAI’s GPT-3

https://t.co/2VxlPmBowl

#gpt3
2020-07-18 Dynamic factor models and Kalman filters - paper

https://t.co/aEJ7Jnb3a7
2020-07-18 Modeling stock bond correlations across frequencies using DCC-MIDAS - paper

https://t.co/R3jvC2IMXK https://t.co/daaoZ9cfL5
2020-07-18 Stochastic trading behavior model using #LSTM and discrete high frequency trading order/trade dynamics

https://t.co/R3jvC2IMXK

#AMM #hft https://t.co/fkx7sTuJf1
2020-07-18 Look-ahead factor model paper

https://t.co/RsRaSFD455 https://t.co/OdGsYulW8P
2020-07-17 Fed sourced alpha?
https://t.co/KJAf6luzOn https://t.co/MwN4KoYRSZ
2020-07-17 FT: is #ESG oversold?
https://t.co/wV7Vd7qWaS
2020-07-16 Excellent paper on transformation of exchanges as marketplaces to vertically complex integration across capital structures, data and software services - excellent read

https://t.co/RJnaWjQKMF

By @johannes_petry https://t.co/VCgjKsIO2p
2020-07-16 Deep Recurrent Q-Networks for Market Making
#AMM Paper

https://t.co/eAwTAGQQHq https://t.co/BI0lO7zJyx
2020-07-14 Winners of the 2nd Annual R Shiny Contest

#rstats #dataviz
https://t.co/ElwDIqIJQG
2020-07-12 @chasingvega1 They seem to find me. It’s a hobby to track papers - some are admittedly flawed but interesting, but always happy to hear if anyone finds any that are useful.
2020-07-12 Paper aggregates and classifies latest research in machine and deep learning with stock price prediction

https://t.co/zVPvOVHkOj https://t.co/Lbf6ADQYH5
2020-07-11 @TradeArcher @TheBradOnSE Thank you. Yes!
2020-07-11 Tutorial for training a recurring neural net #rnn on stock OHLC price data using Python scikitlearn
https://t.co/29OsWcMycI

Jupyter Notebook:
https://t.co/4oUZLi06GC

#ml
2020-07-10 Python stock price prediction Jupyter Notebook with technicals based features

#LSTM

https://t.co/tTA8fQrTFF
2020-07-10 Paper that describes DWaves 2,041 qubit quantum annealer applied to a Portfolio Optimization problem involving 40 assets, which creates a solution space of 240, or 1.1 trillion portfolios from which to select.

https://t.co/XTVNbhZta6
2020-07-10 Failed attempts at applying #ml to stock price movement or market prediction are the norm - here is another admittedly failed attempt using #LSTM with Python code

https://t.co/2EXXAjW2Fn
2020-07-10 #FactorFriday continues with Affinity Propagation, a clustering algorithm to cluster firms in similar risk factor groups.

https://t.co/hWpSIFhnB4

Which uses a sparse covariance estimator:

https://t.co/uGlSV4WU1T

#factormodel https://t.co/eDmTsSKR0X
2020-07-10 MetaFlow is Netflix’s open-source Python based tool to apply AI for time-series pipelines and workflows

https://t.co/oRYEeEYdVP
2020-07-10 #Covid19: “This is a big fucking deal. If I would not be excommunicated from the world of science, I would call this an evil virus, but I can’t do that because I can’t impugn motives to it. But if I could, I would call it that. It’s certainly pernicious."
https://t.co/nKZor1r4vy
2020-07-10 AutoML-Zero

AutoML from scratch

https://t.co/6dAx5wu2JP https://t.co/tLz1VEy9vC
2020-07-10 Kartothek

Pandas dataframe generated by persistent blob stores including AWS S3

#Python library

https://t.co/83lM7wbHkm
2020-07-10 And the TAQ based trading costs used with the source code can be found here:

https://t.co/rkz8lR3HHT

2/2
2020-07-10 Stock Market Anomalies - 180 predictors + 105 new characteristics & their portfolios analyzed

Paper, data and R code that #reproduce most published cross-sectional stock return predictors

Paper:
https://t.co/ifqZ3oFIlQ

#rstats Source:
https://t.co/EdC652Yt9q

1/2
2020-07-10 Comparing stock liquidity across UK, the US, Germany and China - paper https://t.co/eS43g8J9aq
2020-07-09 Wavelet analysis for N11 countries - paper

https://t.co/MHmBBIEAZO https://t.co/Wgvak19Lrl
2020-07-09 Wavelet coherence in COVID19 analysis

https://t.co/ZCPIKptA4Q

Continuous Wavelet Transform (CWT),
Wavelet Transform Coherence (WTC),
Partial Wavelet Coherence (PWC) and
Multiple Wavelet Coherence (MWC) https://t.co/Ilsjag9FXf
2020-07-09 Fractal contagion effect of the COVID-19 pandemic on 32 global stock markets - paper

https://t.co/LzCjpT670M
2020-07-09 Simple trend detection for stocks: Trendnet

Python code:
https://t.co/IktpILBvkL https://t.co/s4vq8VdlYQ
2020-07-09 Autoencoders, feature engineering and financial time-series

Article:
https://t.co/jrcEH2EAJf

Jupyter Notebook:
https://t.co/XvO9J28ncJ
2020-07-08 BAML Macro research report on investment implications of #COVID19

https://t.co/kz0JbYUuuk https://t.co/2PdWXJRZva
2020-07-08 %DV01 Liquidity dynamics of treasury and futures markets

https://t.co/QNNFNk2EW7
2020-07-08 BlackRock on MOC (Market On Close) Trading dynamics

https://t.co/QNNFNk2EW7 https://t.co/3i5oiddATv
2020-07-07 @jamieleecurtis [cringe] https://t.co/PUovvGL93E
2020-07-07 Automated and parallelized feature engineering for time-series and class imbalance sampling and normalization methods in this new Python library

Paper:
https://t.co/dE0WfW5xN9

Source:
https://t.co/e3TUKcsRdW https://t.co/W691TjyNkE
2020-07-07 Python Time-Series machine learning libraries - pyts vs sktime vs tslearn

https://t.co/mAdeoVeVom https://t.co/6NtYlWFkty
2020-07-06 Nowcasting using dynamic factor model

https://t.co/gsc1r6KquC https://t.co/gBWs6mg44l
2020-07-05 #TCA for Emission Trading on #LSE

https://t.co/TdSdJwS4Dx
2020-07-05 Synthetic data - limit order book #lob data generation - paper

https://t.co/hTi4EN5j1d https://t.co/HQ36pKQtmq
2020-07-05 BIST 100 Index price modeling using technical indicators with a suite of #ml models: SVM, DNN, Random Forests and Logistic regression - paper https://t.co/bdv5nh34YV
2020-07-05 Re: volume cyclicality trade signals - short paper

https://t.co/bCFwBl0PMa
2020-07-04 Contemporary Art as Alternative Investment

https://t.co/qmYE6MrFvn https://t.co/7iAu6EMKHS
2020-07-01 @macroarb They find me :)

Deep learning time-series library using sktime

https://t.co/1IKF8owAfi
2020-07-01 Sktime time-series machine learning library

Python code: https://t.co/6p7BJJwydu

Paper:
https://t.co/FrSdFtN3gp
2020-07-01 The maths behind #Covid19 herd immunity
https://t.co/0HdiGmbWF7

Paper:
https://t.co/ia3uBtD9gS https://t.co/3h3G8N6Use
2020-06-27 Information asymetries, adverse selection post MIFIDII - paper

https://t.co/k5iaDsX911
2020-06-27 Quantum Computer Language - Silq

https://t.co/Fm4BKBfCWv
https://t.co/SLAKu4W2IJ
2020-06-26 Hope Not… https://t.co/2h9O3CF3pF
2020-06-26 Hmmm.  👁👄👁 https://t.co/ELOVk4BmFq
2020-06-25 Stark cybersecurity vulnerability for TikTok users who cut and paste passwords or other private information. https://t.co/1Op3nqMTUL
2020-06-24 Perspectives on Tech Comp with migrations from high-cost centers likely https://t.co/5Hdd6VAHJC
2020-06-24 FOMC link to stock market volatility analyzed in this article with Python code

Article:
https://t.co/9LocVEcjys

Jupyter Notebook:
https://t.co/MzpJxh72GR https://t.co/mbAvddfth5
2020-06-23 Limit Order Book stochastic #LSTM price prediction model

https://t.co/R3jvC2IMXK

#lob https://t.co/wwf62s5u08
2020-06-23 Awesome!

“this virus resonates in the THz frequency, and spectroscopy in these frequencies reveals it promptly."
https://t.co/38Gme6GaNb
2020-06-23 Probabilistic Sharpe Ratio

Article:
https://t.co/i4POLT1ETf

GitHub Python source:
https://t.co/XqTArBlpQy
2020-06-23 Hieararchial Risk Parity HRP in Python

Article:
https://t.co/5RXAlCKvKd

Google Colabs implementation:
https://t.co/xMc5qr7pfx

Background:
https://t.co/3M5du3PQe2

MLFinLab is an open source package based on the research of Dr Marcos Lopez de Prado 

https://t.co/kuHGbplZlt
2020-06-23 #Dataviz of #LOB Limit Order Books with Python Code
#Kaggle

https://t.co/0uQLKJ3ehy https://t.co/pfR55OGBOa
2020-06-22 Simple LSTM model applied to predicting DJIA Stock index prices - article and code

https://t.co/ZaSOrwYiBp
2020-06-21 Gait Emotion Classification using Random Forest
#AffectiveComputing

Wired article
https://t.co/uAIYSBv1Pv

Related Paper
https://t.co/OGJqx08cLR https://t.co/Y1YiJAsclh
2020-06-21 Using LASSO to tame the stock factor zoo

https://t.co/Ko8Y8zBF6O https://t.co/S4g6VB9hNE
2020-06-21 Ode to Platform Engineering https://t.co/b4FBo6u1mW
2020-06-21 Ownership equity flows: https://t.co/Pv4sBArTPF
2020-06-21 Equity Flows… https://t.co/ZjZzGvVxg2
2020-06-21 ABIDES, stock market simulator

Paper:
https://t.co/J23J5zThgB

Python source code:
https://t.co/L1BTXeTh0A https://t.co/VtxbeO9fad
2020-06-21 Deep Learning, OOP, Type checking and Python code article
https://t.co/fKOOQBAkV8
2020-06-21 NYC Subway - decades of inertia and infrastructure malaise profiled after massive growth spurt

https://t.co/9o6zrtZSXC
2020-06-21 US20200175602A1 - Pca-based portfolio margining.

Another obvious innovation that should not be patented. https://t.co/bY1OYhwDFV
2020-06-21 Sectors as time-varying #factors modeled in this paper

https://t.co/LKTFc0A32D https://t.co/kchfwzIBdL
2020-06-21 Face Mask efficacy in minimizing #covid19 threat - 2 Royal Society papers
https://t.co/l7cnsz83hn

https://t.co/ffM2r5fzCj https://t.co/sxroKBqUFh
2020-06-21 @OpenSourceQuant Hopefully I’m just the last resort of things to do :)

And thanks for the #HappyFathersDay #FF
2020-06-21 Hurst, Amihud illiquidity and analysis of crypto market efficiency and maturity - paper

https://t.co/gDGb7yilcj https://t.co/vnxQN8EPZV
2020-06-21 Russell Rebalance - price impact effects analyzed in this paper with related Python source code for reproducibility

Paper:
https://t.co/IUFCMkczKC

Code:
https://t.co/rcaDMQE92e

#TCA https://t.co/o4xUYFaXoz
2020-06-21 High-Frequency Realized estimators of volatility - paper

https://t.co/QgxSHSm0u4 https://t.co/Z7ILCAnxIu
2020-06-20 As browsers have become central to cross-platform user experience, malware has infected browser extensions with more consistency -

#CyberSecurity

https://t.co/vbXqkpBd0c
2020-06-20 Russell annual rebalance: analytics insights for Friday June 26th, a projected record volume day.

https://t.co/L6PohBVXtP https://t.co/MCSLW9jID3
2020-06-20 Paper on explicit and implicit trading costs including exchange fees and spreads in the US stock market - #TCA paper

https://t.co/gaS06zoxVE https://t.co/xFxuZIg8FU
2020-06-18 Actually R code - my gaffe. Thanks. https://t.co/eVA0YzO3To
2020-06-18 Open source Stock anomalies - paper, code & data reproduces cross-sectional stock return predictors: 315 characteristics and 1,260 “anomaly” portfolios

Paper:
https://t.co/IPpJOkQgov

Python Source:
https://t.co/6dJWA35rrr

Data:
https://t.co/Z5Zgz4Iv13
2020-06-18 Information implicit in stock option calls as a feature in predicting future stock returns…
https://t.co/LhrAIjRosJ
2020-06-18 TileDB, storage for arrays, pandas, multidimensional feature arrays, and key value pairs and more…

In C++ with interfaces for Python and R #rstats

Medium article: https://t.co/JU132OzxWo

GitHub:
https://t.co/a7xFpoXLST
2020-06-18 Latency of #LoB #Liquidity

https://t.co/Y6XUFnEnWX https://t.co/MBL2UGejfr
2020-06-17 AI based knowledge worker productivity scores and surveillance and broader societal impact…
https://t.co/LDqZn2H9Ig
2020-06-17 Automated Market Making #AMM in DeFi #Crypto markets

https://t.co/xNDYt34YIv https://t.co/PXu07CmOzt
2020-06-17 Touché Larry! https://t.co/Cy08YuVHnV
2020-06-17 Streamlit Series A
Python and not-Jupyter

https://t.co/yZeAIVSvRi
2020-06-17 Aha, so we now plug in 6 Billion for F(I)in the Drake Equation to get an estimate of N.

https://t.co/ckUtbm3AeJ https://t.co/a8o7a3qukV
2020-06-15 #Liquidity and related anomalies in #Crypto - paper

https://t.co/KlW0J4WpyE https://t.co/rlBTBqL9DS
2020-06-15 Greedy Classifiers appied to real-time streaming financial data, in particular, S&P500 realized volatility

https://t.co/sGckUF3Eyv

#ml https://t.co/cnoEtQ23Kr
2020-06-14 Lamphone

Tiny changes in light output from the bulb that those vibrations cause hundreds of feet away,

With a laptop and laptop, Thorlabs PDA100A2 electro-optical sensor and analog-to-digital converter can spy.

https://t.co/N1ogfYLT9j

#CyberSecurity

https://t.co/52GFxU2P05
2020-06-13 Statistical arbitrage using Random Forests #ml for #Crypto - 2019 paper

https://t.co/NuECPbCfbU https://t.co/5HYBlhLnJz
2020-06-13 Reimagined wealth management with #Crypto #DeFi concepts

Zapper,
Balancer,
TokenSets,
PieDAO
https://t.co/9dip2fB0nJ https://t.co/lUIsUY8rnf
2020-06-12 LSTM with Custom-Loss function vs ARIMA in stock price prediction - paper
https://t.co/DJ3ef0tT69 https://t.co/k8uiZZSy9Q
2020-06-12 Covid-19 Vaccination Progress #dataviz

https://t.co/TSayjKhJyy https://t.co/5MKIfWg21w
2020-06-11 SHIFT is a Python agent-based exchange simulator profiled in this paper

https://t.co/gpFdIe1r8X

Code:
https://t.co/vNPovgnsm8
2020-06-10 Analysis of deeply cyclical factor rotations and reversals….
https://t.co/emrJeJmmw3 https://t.co/4lLp92WvFu
2020-06-10 TradeWeb’s AI-Price model for bond / credit markets profiled here:

https://t.co/j5RdxH7ShE
2020-06-10 Decoding #Covid-19 as a genomics service: GaaS

https://t.co/oAU85IgvK4 https://t.co/DxaMlnT5eG
2020-06-10 Paper applies SVM of different kernel functions with HAR-RV models, and tries to build a model to improve the accuracy of short-term volatility prediction of Shanghai and Shenzhen 300 Index using high frequency data

https://t.co/iK4rMz6O8b
2020-06-09 Mercenary.Amanda and #DarkBasin #cybersecurity attacks profiled in this report and the related FT article today

Report:
https://t.co/jg395QXSA2

FT article:
https://t.co/BuXpe5cYGH
2020-06-09 intraday high-frequency returns based on non-linear, non-Gaussian state space models - intraday seasonality, covariance and other measures applied to stocks in Brazil - paper

https://t.co/Zm0JLIBXcN https://t.co/wVcPmQqE4j
2020-06-08 ICML
International Conference on Machine Learning

Dynamic #DataViz of #ml papers

https://t.co/f9Vt6TtBU8 https://t.co/5M4bLxe8qC
2020-06-08 Apple patent for synthetic social-distanced selfies

https://t.co/pK0XZD9MCt https://t.co/qSDYLYc0Dx
2020-06-07 Time-Series Classification Using Deep Learning

And related Python package
https://t.co/dWbmwPr9oE
https://t.co/UA305YvLks
2020-06-06 FiveThirtyEight on state-of-the-art Covid-19 prediction models
https://t.co/VAyE3juTlH
2020-06-05 Differential Machine Learning - paper https://t.co/PYhMS1UFsq

Jupyter Notebook / Colab links
https://t.co/NNZ91sR6ia
2020-06-04 3d Vol Surfaces (and Python code)
https://t.co/faQm42OUDp
2020-06-04 Verifact, a startup market for facts…
https://t.co/TMvH3DfQZj
2020-06-03 Weighted Ensembles of Random Forests applied to market impact estimation of stocks trading on BATS - #TCA paper

https://t.co/TnSaXr1TJV https://t.co/tmKUyiyaGb
2020-06-01 Real-Time #anomaly detection and the just-emerged from stealth mode AI startup
https://t.co/I5Nzgik6ka

https://t.co/tflemUayKt https://t.co/LNQlAYxXAU
2020-05-31 Citi warns market valuations are out of step with grim reality and a lower likelihood of a v-shaped recovery https://t.co/bMvih06N6U
2020-05-31 Re: US Stock Market

https://t.co/kPdPgJ8S6V
2020-05-29 Electricity generating fabric may be a key in next-gen virus-proof masks and clothes

https://t.co/XdvTpWb7Ae
2020-05-27 The relationship of order aggressiveness and order size to realized market impact - #TCA paper

https://t.co/B3E0QM3zYg https://t.co/LtgHkpqTo5
2020-05-26 Stock sector classifications paper using machine-learning

https://t.co/3Jf93GARTH https://t.co/1mY8YOYLm4
2020-05-26 Continuous Futures contracts are needed for technical-charting, backtesting and valuation analytics. This paper applies deep-learning to splicing them.

Deep Q-learning Networks (DQN), Policy Gradients (PG) and Advantage Actor-Critic (A2C) methods. #ml

https://t.co/vXHYG12Ae7 https://t.co/mFNLLmqh0Z
2020-05-26 And Eigen Portfolios built using PCA may also outperform risk-partity and mean-variance portfolios

https://t.co/iGJ0sQZ7uM
2020-05-26 Input Output #IO networks are used to analyze local economies with alt-sector nodes / aggregations and using random-walk based measures

paper:
https://t.co/WDk7xQISfX

r #rstats Xtranet source:
https://t.co/JwqRT5Zfmt https://t.co/3b0xELGUWV
2020-05-26 WFH -> WFA [Work from anywhere] perspective | in TechCrunch https://t.co/6hDMyrJubc
2020-05-26 Machine Learning based portfolios with improved Covariance prediction - paper can outperform mean-variance and hierarchical risk parity - paper

https://t.co/euujjeLHOi
2020-05-23 An expert on pandemics, infodemics and bullshit opines on all three | in TheGuardian

https://t.co/bcO2ZdqWyw
2020-05-23 Good Covid19 avoidance strategies in the new abnormal…
https://t.co/NzB69kCNva
2020-05-22 Algebra of Limit Order Books - paper

https://t.co/HJkt1DLNWD https://t.co/j4Z3HY4uru
2020-05-21 Yet another patent application that seemingly ignores loads and loads of prior art in our industry - this one by Trading Technologies for automated internalization

https://t.co/fhBKgVrnm6
2020-05-21 And a more dimension-less, time-travel-less perspective can be found here…

https://t.co/pEwaA8o1kW https://t.co/6xfKkkqbd1
2020-05-21 Much ado about Jupyter Dash

https://t.co/4pVMu9hOuc

#Python https://t.co/xKkQLNzqqs
2020-05-21 FT on the surge in work from home turrets and other trading from home perspectives

https://t.co/beCK5mdbic https://t.co/BNEEQ70EYX
2020-05-21 Good empirical insights in replicating 452 so-called stock market anomalies… https://t.co/oVN4Hn3WLp
2020-05-21 McKinsey report and insights on #Covid19 and impact on corporate strategy

https://t.co/415ZbtYDw5

https://t.co/VuCDShbmoe https://t.co/MZLiugiXM1
2020-05-21 BCG Report
‘Winners innovate to accelerate out of a [#Covid19] crisis’

https://t.co/jU2zRndHvx https://t.co/WIqV2hBfhG
2020-05-21 UBS Investment Research on Covid19 - seven themes and corporate beneficiaries

https://t.co/WIo1J18ZZ0 https://t.co/MdDybrRimw
2020-05-21 #Covid19 Report by Oliver Wyman - macroeconomic and scenario analysis

https://t.co/B7EjXxPIoi https://t.co/Eu40YhovyH
2020-05-20 Another dimension or parallel universe where time travels backwards? | In NYPost

https://t.co/DQmSLJ5Fev
2020-05-20 @PalmerReport widgets.Combobox(
2020-05-20 At 17 billion parameters, Turing-NLG is the largest known language model in the world today.

Microsoft introduced the Zero Redundancy Optimizer (ZeRO) in February along with Deep Speed.

$MSFT https://t.co/wpkZmW5xUB
2020-05-19 🍕 Arbitrage

https://t.co/TJW0Hez3VD
2020-05-18 A quick read Introduction to Deep Learning, Tensors and TensorFlow with Python snippets
https://t.co/XSsYcIQM4t
2020-05-18 #dataviz of topics in #covid19 papers

https://t.co/8nWU6RnDWt https://t.co/vFkdyXmO7J
2020-05-17 $JCP Dodged the bullet …. this time

https://t.co/SRlrGB9jHD

But, who really believes that those institutions who lengthened their duration with 100-year 7.625% bonds issued in 1997 will be still paying ANY interest in 2097?

More on James Cash Penney
https://t.co/xm0XNutu8R
2020-05-16 Samsung announces world’s First Smartphone With Quantum Technology applied to authentication, cyber security and random number generation
https://t.co/5DwBfPt0SD
2020-05-16 AI Knowledge Graphs for #Covid19 | in FT
https://t.co/VG6OinXSCR
2020-05-16 Stay-at-home Saturdays are perfect for exploring the science of limit order books, Fourrier transforms for feature extraction and a #BigData of 18 quadrillion messages per day, with nanosecond timestamps | all in this #lob paper

https://t.co/HAFqZo6G1I https://t.co/eGwC2KVm1m
2020-05-16 #Liquidity Commonality - liquidity-volatility and liquidity-covariance in #Brazil related to foreign stock investments - paper

https://t.co/EIX8wGhIZB https://t.co/MH6hdBYiWL
2020-05-16 Meet

Troglomyces twitteri

a parasitic fungus discovered on Twitter

https://t.co/kH5E4RSRbt
2020-05-16 Cryptocurrency price prediction using ensemble deep learning - bagged, stacked, lstm…

https://t.co/I6Q5hOfQ1V

#crypto https://t.co/ETXwe22MV1
2020-05-15 Equity Quant Factor performance - YTD,
via @quantpedia

https://t.co/6F1oY6NwEa https://t.co/rkQNxr0tEJ
2020-05-15 $305M purchase was small but bonds but had impact on market

https://t.co/lmDHIFtxvU
2020-05-15 Liquidity in corporate bond market ETFs and their constituents will be shaped by a new market participant - the Fed
https://t.co/OcCrqbYn7y
2020-05-15 $FB open sources their AI ans chatbot technology with BlenderBot
https://t.co/Ccu9a6pJTp
2020-05-15 Interesting Bitcoin stock-to-flow cross asset model described

https://t.co/4VpER48l36

#crypto
2020-05-15 @McKinsey on Acceleration caused by Covid19 pandemic

https://t.co/MvvuDZ2Sgc https://t.co/4SrS00riaz
2020-05-15 Visa #Crypto is not an oxymoron, it is a Digital Fiat patent

https://t.co/iB4tuFgNCz https://t.co/ElQpb7L2C8
2020-05-15 Weaponizing Coronavirus Research | in NYT
#Dataviz #Covid19 #Misinformation

https://t.co/z3TxfAEyFf https://t.co/8i8ED0R1dn
2020-05-15 Several Time Series Compression Algorithms explained

https://t.co/PTTQRev6ZX https://t.co/ItQNAafDQj
2020-05-13 TheTrade

”…report found that overall institutions slashed front-office headcounts by 5% year-on-year in the first quarter, down from roughly 51,700 full time employees, to 49,000."
https://t.co/WQNP0pmDfc
2020-05-09 Analyze Basketball Shots using Python source code

https://t.co/U7nkPykuNT

#NBA #SportsDataScience https://t.co/XohkVQ42GT
2020-05-09 Dive into Deep Learning #ebook by Amazon data scientists

https://t.co/PseDwJcEyz https://t.co/5xqBk5WQcy
2020-05-09 #DeepFake videos #misinformation and journalistic strategies for mitigating - via @Reuters
https://t.co/gP61OBTsam https://t.co/1TOvRa8c3f
2020-05-09 Hmmm

https://t.co/oQynkzULnt

#Crypto
2020-05-09 Bitcoin price forecasting using 124 technical analysis indicators and a decision tree

#Crypto $BTC

https://t.co/3HeeA4SHPc https://t.co/vvkT9VmRZ4
2020-05-09 TensorFlow, LSTM and Technical Analysis of Stocks • 2019 Paper
https://t.co/vjq6YYMw2M
2020-05-09 Article on #Covid19 and impact of use of dark #liquidity to execute stocks by institutional traders

https://t.co/cm0Zma0kWx https://t.co/lRpTtwGlVn
2020-05-09 Entropy and market efficiency paper: Sentiment and Granger Causality

https://t.co/lKyz5LMVgj https://t.co/DbJkaqfEcP
2020-05-09 #Covid19 and Stock volatility, #VIX relationships using Google Trends, Regresssion and Impulse Response analysis • paper

https://t.co/qlqHYu9gdv https://t.co/gI38tlVTIm
2020-05-09 Tidy Covid-19 Data for R
#rstats

https://t.co/vYaQdbiKYC
2020-05-08 Quant Easing - a non-technical Primer

https://t.co/d4Z1jTuRXm https://t.co/L8WlTHdIzf
2020-05-08 Simple Recurrent reinforcement #ml model for stock trading explained in this paper along with embedded Python code. Good for novices.

https://t.co/8sAc806LTl https://t.co/gJYmtHMMme
2020-05-08 BIS Paper describes how #ETF prices and illiquidity may reflect corporate bond market stress earlier than NAVs in the midst of #Covid19

https://t.co/R6aMMzuZad https://t.co/OIU1SyYERT
2020-05-08 Analysis of impact of #Covid19 on the muni-market

https://t.co/orzNYszqDE https://t.co/2hVFzdXu0v
2020-05-08 Philadelphia Fed paper on impact of #Covid19 on corporate bond market - spreads, trading costs

https://t.co/c2q9au4v1V

#tca https://t.co/1APOtJAPZm
2020-05-08 Markov-Switching models and GARCH used to analyze the impact of #Covid19 on stock market volatility and #VIX • paper

https://t.co/VxdBLR0O9N
2020-05-05 An open source hardware and software ventilator built by NVIDIA chief scientist and Stanford Professor Bill Dally that cleverly uses a Proportional Solenoid Valve. All parts aggregate to less than $400

https://t.co/hg8RpSzx8F

#COVID19 https://t.co/zrxUN99EID
2020-05-05 Is this the best of work in the future new normal: “a blurry mix of work, life, pajamas, and Zoom?”

https://t.co/8Nun8HIw1Y https://t.co/iDgfJyeJA8
2020-05-04 Systematic and specific VaR for stocks and their exposures to commodities with embedded R #rstats code

https://t.co/1PolOigiev https://t.co/sCaz1Qu1KA
2020-05-04 Values-based #ESG factor investing - paper

https://t.co/tLPWauDudE https://t.co/PgEfVzWft4
2020-05-04 Philadelphia Fed paper on economic consequences of various #Covid19 policies in America.

https://t.co/2KKBMJb4uO https://t.co/pAfLRBE5jM
2020-05-04 #FakeNews news detection on social media - three machine and deep learning models compared

https://t.co/WZvCyDdWQw

#misinformation https://t.co/X3WBYOXjxS
2020-05-04 Linkage between volatility and stock liquidity modeled in this paper

https://t.co/fV9p6lKNb3 https://t.co/6IhDGkWJhf
2020-05-04 #ESG Factor & Network Analysis and Optimization - paper

https://t.co/iZXX9qP3sA https://t.co/YTC3kRsOIZ
2020-05-02 The Algebra of Limit Order Books

https://t.co/HJkt1DLNWD

#lob paper https://t.co/0RA9sipi6k
2020-05-01 Well explained simulation and #dataviz of #COVID19

https://t.co/kUspgikaAP
2020-05-01 FX Algorithmic Trading and Complexity paper

https://t.co/2fQR8DKG0o

#entropy https://t.co/plpQCv6zjO
2020-04-30 @ltabb Well considered perspective Larry.

Infrastructure has new meaning as well in terms of supporting the heightened demands around business agility and mobility in capital markets above the tick, the route or trade.

Thanks, as always for your insights.
2020-04-30 Attention based neural nets applied to stock limit order books #lob

https://t.co/MoqJAPmnr3 https://t.co/AZ7blliXgH
2020-04-30 @ArturSepp authored article on trend-following, crisis-Alpha and crisis-Beta strategies.

https://t.co/sZWgHPj5Jz https://t.co/f9UUhpIjR5
2020-04-30 3D Mapping and Visualization with R and Rayshader

https://t.co/SuSfvhGKfg

#rstats #geo https://t.co/jufFAFUmOO
2020-04-30 Imagine how hard it is to decouple from Google completely

https://t.co/h23Emy9wde
2020-04-30 Free, large data set of Early Stage VC investors https://t.co/zaKMTtqMh2
2020-04-29 FT on key challenges and opportunities for Private Equity post Covid-19

https://t.co/zXCM4UWVaM
2020-04-29 MIT researchers release Clevrer, a visual causal / reasoning and neurosymbolic AI tool | profiled in VentureBeat https://t.co/UwijOF8Bdn
2020-04-29 65 @Springer #ebooks on Statistics, Deep and Machine Learning

https://t.co/PnCdxUuSeM
2020-04-29 Startup funding dynamics in the new normal - two reports:

https://t.co/iXlTvq4c9Q

https://t.co/OJJF5HBKao
2020-04-28 Stock price prediction paper using SVM vs LSTM Ensembles
#ml

https://t.co/nR4aXeMJVj
2020-04-28 Bitcoin Futures - price clustering analysis - stylized facts short paper

https://t.co/aARNSdctGj https://t.co/kcQGBO8JjJ
2020-04-28 25 Machine Learning Startups profiled in this Forbes article

https://t.co/8058Y3QpMR
2020-04-27 #Crypto currency predictions using #hurst #lstm and #chaotic properties - paper

https://t.co/bYsKEkDVgr
2020-04-27 Ah yes, thanks for purveying and sharing the NBA analytics by @bballport https://t.co/fdK3K8yJKO
2020-04-27 #NBA seems so far-away, but shot selection embedded in accessible notebooks by @crumpledjumper that showcase the key analytic features are here now:

Article:
https://t.co/oCXmv0L5Do

Python and Jupyter:
https://t.co/GNeo5zlIHP https://t.co/QBrnfgm4tA
2020-04-27 Rethinking healthcare in new-normal also means new Ops -
by @McKinsey

https://t.co/Z7YO3pnGe0 https://t.co/zyDa3lFZtP
2020-04-27 Excellent article on status of GDPR and data privacy enforcement in NYT https://t.co/khwVSuFTxo

With Covid-19, pressures to optimize information across organizational boundaries for improved societal welfare may be a greater goal.

#differentialprivacy #aggregation #gdpr
2020-04-26 Oil and Markets - brief historical perspective

https://t.co/ZqOgCNKFh6 https://t.co/Ipy3CbbHIL
2020-04-26 #Covid19 beta analysis with stocks using Bayesian regression and Logistic curve analysis

Paper:
https://t.co/rLSA4YYRsP

Source code:
https://t.co/oRyjACnaRg https://t.co/Q8TGqqzwrD
2020-04-26 Real data and simulated data are integrated in this analytical paper on agent modeling of high-frequency trading

#hft #agent #paper

https://t.co/LmOUaZShzz https://t.co/0wxzj0aNoL
2020-04-25 High market impact stock trades on DAX analyzed by informational quotient, limit order book dynamics and price correlation to informed trades

#lob #tca paper

https://t.co/NqbJlDUjaV https://t.co/JziYfp1P86
2020-04-25 Dissertation on applying derived social media features to stock price, correlation and volatility movements

https://t.co/cFbiQIm3k6

#granger #twitter https://t.co/mJY19r4roM
2020-04-25 Dissertation on a functional form of market impact using machine-learning on limit order books and their stylized facts

https://t.co/MznWA8N1Nh

#TCA #lob paper https://t.co/p7RVP8dz6z
2020-04-23 Three Time-Series #Ebooks:

Time-Series Analysis
https://t.co/PZRgE7rnzT

Introductory Time Series in R
https://t.co/DiqJOIyRm7

Introductory to Multiple Time-Series Analysis
https://t.co/LzlxlrfWXA

#rstats
2020-04-23 Bitcoin returns stylized facts - paper

https://t.co/ymHXNVLAwS https://t.co/16J09h2Q9u
2020-04-23 CoRisk - Covid-19 stock industry specific risk-assessments using 10k filings and sentiment analysis

Paper:
https://t.co/a6jiwGd1UJ

Python code:
https://t.co/qhttH1JnL9

#coronavirus https://t.co/nzKegtPP2U
2020-04-23 Limit order book #lob dynamics paper

https://t.co/tHWPiDmndv https://t.co/EBQTBTJ79F
2020-04-22 @RobinWigg on sorcery, fixed income ETFs, heroes and villains and brings it all together…

https://t.co/fg05Y3sAOO
2020-04-21 Article on Random Forests and Decision Trees with Python code

and Github source:

https://t.co/iwqrYd705P https://t.co/F0lCnD0DPl
2020-04-21 Factor analysis - Lazard monthly report

https://t.co/i7ykVK1hNQ
2020-04-21 Factor strategy performance analysis by Robeco

https://t.co/KOBi0ikLyA https://t.co/83DXzq0IFb
2020-04-21 Liquidity as a priced risk-factor in stock portfolios on the Karachi Stock Exchange - paper

https://t.co/1hXEAy50ln
2020-04-21 Closed-form model-free implied volatility formula using delta-sequences - paper

https://t.co/yw79O8PBoq https://t.co/r5J6VBdwuV
2020-04-20 Instagram founders launch https://t.co/CGsjDKjF1A to estimate estimate #Covid-19 real-time #R0 using a Bayesian approach

Jupyter notebook:
https://t.co/oJtBW25gv4

TechCrunch story:
https://t.co/Q26SF5LOvd

#rzero https://t.co/pucwFWrxjv
2020-04-18 Nassim Nicholas Taleb opines on Cryptos:

https://t.co/yiSEzlL9oH
2020-04-18 Post Covid-19 Office Design in @FastCompany

https://t.co/62YFlvUBqo
2020-04-16 Deep Transformer Models for time-series prediction - paper

https://t.co/JunvLym1U7 https://t.co/YH7DbABbVw
2020-04-16 Momentum Portfolios

https://t.co/opgOqxaMKY https://t.co/yjNPKFNc7H
2020-04-14 Consumer FinTech top Twitter follows - (25 of 50)

https://t.co/kMToVQHC4v
2020-04-10 Intro to Mathematical Programming #ebook - more conceptual than laden with examples #Python #Pyomo optimization supply-chains (2015)

https://t.co/stWBStb0HL
2020-04-10 Cross-market-impact model -
#TCA paper futures / bonds
https://t.co/6Jkn2fD2Hi https://t.co/rjdHaenUe3
2020-04-09 @Frank_Zamboni Simple is better - for all of us.
2020-04-09 High-frequency recurrent neural nets - paper

https://t.co/Sj1QfqSkrN https://t.co/nvZAaRR9q1
2020-04-09 High-frequency stock trade classification dissertation using a variety of #ml methods

https://t.co/wHx047pzHV

#hft https://t.co/IqAwGJdVa8
2020-04-09 Jump volatility dynamics in #Crypto

https://t.co/uzPXp7El1q https://t.co/IYKZkDJXRA
2020-04-09 Bitcoin quantile correlations and leaky covid-19 hedge dynamics paper

https://t.co/307yKmgoFn https://t.co/BKB4uYLBlh
2020-04-08 Covid-19 inspired resurgence of forgotten tech trends…
https://t.co/Ej2VT3GGeP
2020-04-08 FX Volatility around macro events and impact on algorithmic trading decisions…

https://t.co/uhllHRF6vU

#TCA https://t.co/f0dOYcqBkW
2020-04-06 A lens on Post-Pandemic NY?
https://t.co/qSMocnUmkM
2020-04-06 AmboVent-1690-108 project open sourced hardware and software by the Israeli Air Force is an alternative emergency ventilation system for presumed #Covid19 patients

https://t.co/0ujNNG9kR9

Arduino code:
https://t.co/KO86qjAYQa

https://t.co/QUhIgnwXrY
2020-04-05 Uber and OpenAI collaborate on Fiber, a multi-processing platform for large scale data science projects using #MLB

Web:
https://t.co/yk92tUgNp7

Python Source:
https://t.co/ME0LI52Bv4

Paper:
https://t.co/OReBc2ivNp

Uber #AI Use case - POET:
https://t.co/G0uaUXcHuk https://t.co/FlkVMLRLaB
2020-04-04 Real-time streaming Quadratic Covariation

https://t.co/u4CoH1Dq7c https://t.co/8Zwe8oawZL
2020-04-04 #Covid-19 Apps translated via

Andreessen Horowitz #a16z

Deck:
https://t.co/M17ZqsFJWb

Link:
https://t.co/VA0RJhkT8I https://t.co/hfiKAiVTpJ
2020-04-04 The latest cybersecurity details on $ZM use of a very hackable encryption and key transmission methodology

https://t.co/DUBqcKKni2
2020-04-03 Yes they are…

https://t.co/9CKnuNNPPv
2020-04-03 #COVID19 paper

“estimates suggest that there is substantial under-ascertainment of cases in the younger age groups”

https://t.co/wBTeOv1dxT

R source code #rstats:
https://t.co/jbDUro8ilH

Reproducible data set:
https://t.co/jbDUro8ilH

#paperswithcode https://t.co/eQJmBn4QQK
2020-04-03 Is Bitcoin a safe haven?

No, according to this paper:

https://t.co/307yKmxZwV
2020-04-03 Covid-19 Virtual Hackathon @MIT

https://t.co/Fsq11iT7Ci
2020-04-02 Of course, when volatility rises so does impact market costs, but what other insights for trading can be extracted from a regime of

war vs Covid-19?

https://t.co/gi3WJ3fPZl

#TCA https://t.co/EQnRB5iHml
2020-04-02 Start-Ups and the ‘Great Unwinding’ in the NYT https://t.co/FXauPZenZS
2020-04-02 Stratechery on Twitter, Covid-19, Masks and strategy
https://t.co/Ikhby5NX9R
2020-04-02 Coronavirus Quant Quake
Profiled in FT
https://t.co/0CgeIVwfiT https://t.co/R8dAHLBcbm
2020-04-02 $ZM has to correct these serious security bugs

https://t.co/tiz7wj7hZt

And stop their misleading marketing around encryption

https://t.co/qVOMxQQNp7

And should not be used in Enterprise settings or by startups communicating with their customers
2020-04-02 And this article summarized those $zm security gaps well

https://t.co/7MOrjNewYz
2020-04-02 And $ZM clearly is missing security DNA

https://t.co/InO5RTZMB6

https://t.co/LpRZU6h6E1

https://t.co/3YMtXonNlk
2020-04-02 Price reversals and stock size linkage for stocks in Indonesia - paper

https://t.co/ShL06I7lmP https://t.co/EceEaf11rA
2020-04-02 Sliding Window (LSTM vs ARIMA) applied to Russian Stock prediction

https://t.co/j7TFM98pU8

#ml https://t.co/EubFvbffI7
2020-04-01 What are the challenges in building good Covid-19 models?
https://t.co/iYULOds6XR
2020-03-31 Hmmm.
https://t.co/hWgaIWydOf
2020-03-31 It’s time…

https://t.co/SNYrfdhYtW
2020-03-31 @nntaleb on ‘white swan’ pandemics and managing their tail risks

https://t.co/aOsnAmfta7
2020-03-31 Cryptocurrency paper - broad survey of markets, data sources, models…

https://t.co/s9qD6rfbgq https://t.co/pK2snxggaQ
2020-03-31 And now another open #altdata project - Dolthub
https://t.co/dLO5FIExyf
2020-03-31 Various V-Shaped Vicissitudes via @fundstrat https://t.co/g3482OQEg9
2020-03-31 Dash and Plotly and yet another #Covid19 Dashboard

https://t.co/eHepyIWWV3
2020-03-31 Covidify is a collection of
#Covid19 Jupyter Python notebooks along with Python scripts to handle #dataviz
https://t.co/VBvgPY6FeR
2020-03-31 Not a chart I like to see at all
https://t.co/q3ScWJSTyC

#dataviz #Covid19 https://t.co/1n9bFBuMZX
2020-03-31 Shiny #Covid19 Dashboard in R #rstats
https://t.co/JEg3y3JPEz https://t.co/6RH8bfgDT7
2020-03-31 @SalArnuk I liked the way his chart depicts describe complexity factors for execution quality around a benchmark like VWAP - not sure I like the Radar chart so much, but love the variables.
2020-03-31 Similar ICLR 2019 collection of machine learning papers curated by @twosigma

https://t.co/AF7pIfHUUu
2020-03-31 NeurIPS 2019 Highlights by @twosigma - Key Themes and Papers including #Covid19, #NLP, Reinforcement Learning, Synthetic Data…

https://t.co/KTQM4duAa5
2020-03-31 Coronavirus misinformation dashboard:
https://t.co/TLzRSTUMiR

Leverages this Python Twitter library
https://t.co/Li0RDrQYgS

Paper:
https://t.co/til42jqLvu https://t.co/eImFv8pBz3
2020-03-30 https://t.co/uo2ZIaTJ5g on data quality challenges for #Covid19 predictions
https://t.co/p0ffck7xCR
2020-03-30 “Eigen said on its website that a legal client also used it’s NLP platform to analyze approximately 150 loan agreements that are each several hundred pages long. Eigen automated the extraction of more than 20 data points”

#NLP for Libor #RFR Transition
https://t.co/8Is8tGNHH8
2020-03-30 Goldman quant execution executive opines on execution, correlation, reversion and volatility dynamics

https://t.co/ScnVeVb6U9 https://t.co/tUHtWMHYQr
2020-03-30 Covid19 and Masks - the science behind their utility and effectiveness
https://t.co/Dx7ICa3Owt https://t.co/anmM4McCAt
2020-03-29 @jphme Chuckle: $Zm ‘does everything right’ is a strong statement

Their valuation as a multiple of revenue growth in an industry where they are not dominant is obscenely high - all those other tech companies are DOMINANT and can arguably control a key niche away from zoom.
2020-03-29 @jphme My main point is around valuation; is it clear they have a commanding lead - no!

Is it clear they have a superior product - no!

Do they have synergies with desktop and mobile OSs and Enterprise software - no.

They are a pure play, interesting, nice product with PE backing…
2020-03-29 And for Grandparent to parent to child communications, is zoom demonstrably better than FaceTime or Duo? Does zoom have more usage in family communications?

It’s a good niche product in a competitive market where they can be outspent & out integrated.

https://t.co/vbs7eam0fF
2020-03-29 When I was in startups I used Zoom a lot. Zoom is popular with startups, but not nearly as much with large Enterprise users. Aside from the ability to change default backgrounds, I can’t say it is on balance more useful to an Enterprise user like me, since it’s less integrated.
2020-03-29 I have used zoom, for communications reliability I prefer WebEx and for integration with teams I prefer Microsoft’s product. I used zoom as recently as Friday and the experience was not remarkably different nor was it integrated - with other Enterprise channels. https://t.co/OROrchAKaM
2020-03-29 $ZM in a growth space clearly, and the relative valuation reflects the lack of growth in airlines for sure, but the sheer magnitude of relative valuation reflects sentiment and PE exuberance over fundamentals, agility and ability to truly lead the industry with product.
2020-03-29 Zoom does not have a MOAT vs Microsoft Teams/Skype, WebEx for Enterprises nor does it have an offering across adjacent niches like Houseparty.
2020-03-29 $ZM is tethered to an alt-reality and to FOMO sentiment zeitgeist https://t.co/UxJHnMV4op
2020-03-29 Coronavirus pandemic and continued existential challenge for many hedge funds

https://t.co/Vq7lAr5yHi https://t.co/PupVw5XE6K
2020-03-29 Factor performance in the last decade - analysis

https://t.co/lfhWBKQdCl https://t.co/OnQyYkuqkL
2020-03-29 Ughh…
https://t.co/qqy0bxbGMl
2020-03-29 Open source health movement profiled here:

https://t.co/CIa1Kh9c1T
2020-03-29 U. Of Florida’s Open Source Ventilator Project

https://t.co/0oB65ATrxg https://t.co/UMGEdbvIZw
2020-03-28 Impact of MIFIDII on Liquidity, Price Formation, Spreads, Lit vs Dark
Dynamics of STOXX 600 Europe Index - #TCA paper

https://t.co/SWpJTDYdOW https://t.co/xIVC1msZ6G
2020-03-28 @Karyagin_A Fixed:

https://t.co/SD9Yyyj4qP
2020-03-28 The correct paper link is here:

https://t.co/SD9Yyyj4qP https://t.co/Uhk1dV4xlH
2020-03-28 WorldQuant paper on using Hurst in trading strategies along with embedded Python code

https://t.co/8lh41CKhBs

GitHub: https://t.co/5ciKQByFvn https://t.co/g7kXSqYypc
2020-03-28 The importance of nowcasting vs prediction and other Covid19 inspired lessons for quants by Marcos Lopez de Prado
https://t.co/8lh41CKhBs https://t.co/8lh41CKhBs

https://t.co/8lh41CKhBs
2020-03-27 Alternative stock classifications to GICs using #NLP of 10k reports and other #ml methods explored

https://t.co/2aN5047rjp https://t.co/LNpDabaqcj
2020-03-27 #Liquidity commonality in Brazilian stocks analyzed in this paper

https://t.co/OmPFzFif3r
2020-03-27 “It’s only when the tide goes out that you learn who’s been swimming naked.- Warren Buffett

https://t.co/yuYCr5Qu4x https://t.co/Wbwf7dmd6E
2020-03-26 Treasury and Bond Futures Liquidity - paper

‘Although overall risk volume is greater across all cash securities … the liquidity hierarchy is more complex, with certain futures contracts more
liquid than certain cash securities and vice versa.'

https://t.co/yw9ZVfeBJE
2020-03-23 …And Zoom devices that track programs that are running on your device…

https://t.co/X0y0GMkeBa
2020-03-22 Another ventilator project - from MIT #E-VENT

https://t.co/5kCN4dMc2q
2020-03-22 #Covid19 Web App - multiple sources aggregated

https://t.co/QTe8gSwgaN https://t.co/AEqXp1I0wN
2020-03-22 TheAtlantic on impact of late response in the Us to #Covid19
https://t.co/bUIq3mJxIt
2020-03-22 #COVID19 – Global Statistics from EU’s CDC including country rates of doubling https://t.co/SiVJc2kQL6
2020-03-22 Locked-Down Lawyers and devices that listen…

#privacy https://t.co/lMF3NIYNAK
2020-03-22 Rob Hyndman on the challenges in forecasting #covid19 transmission and human and other impact
https://t.co/bWrnjrotgJ
2020-03-20 Kaggle Jupyter Notebook of #Covid19 Research Papers
#dataviz of Clustering in #Python

https://t.co/rXf3hTBDBV https://t.co/Vf5wS3lLCA
2020-03-20 Optimal Market Making
paper
#AMM #Hawkes
https://t.co/HxD9EGGVcU https://t.co/uR4LXHRJ49
2020-03-19 @aifazza Or letting it expire worthless
2020-03-19 McKinsey snippets on #Covid19 impact on business strategy and execution

https://t.co/th4pFji8Uw
2020-03-19 Open source ventilator

https://t.co/bnLiANZhpA https://t.co/aN64BLBRlr
2020-03-19 Financial Engineering of #Covid19 ==> Infection Options

https://t.co/Hvli7BCWmE

#paper
2020-03-18 Hope for the afflicted…
https://t.co/mNBkdmbkPH
2020-03-18 Hmmm…

https://t.co/rLSB28miY5

#Coronavirus treatment https://t.co/E2DQqPI5Xr
2020-03-17 Liquidity, leverage and information…

https://t.co/ZrQi7zT506 https://t.co/mOOaosXw7c
2020-03-17 Wolfcom extreme facial recognition and real-time record mapping…

https://t.co/Ua3fL7GTTv
2020-03-17 COVID - Interactive #Covid19 pandemic calculator
https://t.co/xpIE0pVTvh
2020-03-17 COVID-19 Open Research Dataset Challenge (CORD-19) for AI / ML / Data Science includes Coronavirus datasets and 29k related papers

https://t.co/bkWPPzQsJp

TechCrunch Article:
https://t.co/wHQmcP8rCD

SiliconAngle Article:
https://t.co/noqB6YcKrA https://t.co/wJhq0X0dMF
2020-03-16 We are at war on multiple flanks - #covid19 and #cybersecurity and they are linked…
https://t.co/NuOrJcY3ml
2020-03-16 @ltabb @TABBGroup @TabbFORUM @dawnmlim Happy for the WSJ story.

But, another sad consequence of our #Covid times.

Global market structure won’t be the same without your firm’s sage perspectives.

Look to catch up in person after covid is controlled, contained and a new normal is ahead of us all.
2020-03-16 Scipy used to build a simple Sigmoid curve fit of Coronavirus transmission in a Google Colabs Jupyter Notebook

#Python vs #Covid19

https://t.co/YFsFCeGbcy https://t.co/aVYqc7MC0D
2020-03-16 Love this idea
TL;DR App

https://t.co/CVuGdRo387
2020-03-15 Washington Post #dataviz #Covd19 simulator
https://t.co/ll90iNclyt
2020-03-13 Scary Friday 13th!

Notes from an expert panel on Coronavirus suggests we are already past containment stage and can expect aggregate mortality in the US to exceed one-million.

https://t.co/SJZSqDaEwp https://t.co/kUpvRq3TFH
2020-03-13 Goldman analysts highlight how top-of-book liquidity loses its importance as equity futures markets swirl rapidly

https://t.co/9rzEQeMECA
2020-03-12 New paper on #liquidity characteristics of stock market anomalies

https://t.co/M9WUpedwSc
2020-03-12 Asset inflation and American Consumer profiled in this FT article

https://t.co/Cl05JaJuKF
2020-03-11 Covid19 US transmission forecasts by @MackGrenfell based on simple exponential growth curves and a variety of assumptions

https://t.co/JYcezxxG1f
2020-03-10 A #SwiftUI optimized Coronavirus tracker App
#IoS

Source:
https://t.co/LmwcdS0B2T https://t.co/UrdZM8vxcm
2020-03-10 Google announces Quantum TensorFlow…

https://t.co/qK4BrWO6Jf
2020-03-10 Netflix open sourcing quantification-of-risk library - riskquant

https://t.co/rPF9bM6VgZ

#cybersecurity
2020-03-09 LSTM, deep learning and crypto currency price movements

https://t.co/ikRfuI4hHs https://t.co/dnrM3mNwkI
2020-03-09 The Renaissance portrait [of the Mona Lisa] turned the face into an enigmatic treasure, but facial recognition has converted it into a commodity. | In FT
https://t.co/3VjSa2TBcl

#privacy #FacialRecognition
2020-03-09 The new competitive dynamics of collision | MIT Sloan Review
https://t.co/XIBDiEknk7
2020-03-09 On #ML and Trading:
“The future is uncertain, but hedge fund front offices will be cloud-enabled, data-led hotspots for machine learning applications. The only remaining question is who will change with the times and who will be left behind."

https://t.co/kHl9AFxLyj
2020-03-08 Bitcoin price jumps, cluster phenomena paper

https://t.co/GBv8lSmsxl https://t.co/jV8D7Ipe4Z
2020-03-08 Stock volatility and skewness spillovers analyzed in this paper using Maximum Overlap Discrete Wavelet Transform with multi-resolution

https://t.co/DaNmLIl0tz https://t.co/UlRdY22PhM
2020-03-07 Visual comparison of stock market price moves between the financial crisis in 2008 and the corona equivalent aling with the JavaScript and #D3 code to reproduce

https://t.co/lnYpZopqej https://t.co/7jzUmoE38x
2020-03-07 @CT_Bergstrom Powerful Coronavirus Chart for the US - increased Telecommuting use is part of the answer
2020-03-07 #Coronavirus - it could get much worse before it gets better…
https://t.co/iEfJMURB4f
2020-03-07 Sentiment features engineering in machine / deep learning of stock market price movements

https://t.co/yVzIdYGR47

#ml paper https://t.co/aU1OOGlLEB
2020-03-06 On the increasing prevalence of intense market shocks | in FT by @RobinWigg

https://t.co/Q5nTQ1DIlo https://t.co/DTOR96qska
2020-03-06 Bagel Street’s Locate X technology vs Privacy

https://t.co/OVLNUwcsIO
2020-03-05 Coronavirus transmission dynamics may be modeled more effectively with clever use of Vessel trajectory meta-data information embedded in shipping data as this paper highlights and as the Origin Destination Matrix #OD graph supports:

https://t.co/zckRzd2tcx https://t.co/5lRGX78FWI
2020-03-05 Google’s DeepMind applies their AI acumen to #Coronavirus data science with #AlphaFold

https://t.co/QYydPY5fVG
2020-03-05 Two Sigma launches Scout for open #altdata search and discovery

https://t.co/UyFCsCpiM2 https://t.co/68lGP8Kqxe
2020-03-04 #Coronavirus #AltData

https://t.co/G7m5dgkmg9
2020-03-04 Convex Coronavirus Hedges (or Bets) profiled in the WSJ
https://t.co/SNnkVuPSlu
2020-03-04 https://t.co/5DVsTV2DtR
2020-03-03 The Atlantic today on Coronavirus US Stats

https://t.co/FFfi44m19e
2020-03-03 And more on Clearview partnerships and camera design…

https://t.co/AJLpp7ZJv9
2020-03-03 Dynamic Volatility Models - paper

https://t.co/o8v6EI1Png
2020-03-01 Blacrock’ s Aladdin business profiled in FT

https://t.co/Q3WCIoPAr1 https://t.co/5qH8Bwuy1k
2020-03-01 Corporate Bonds - TRACE and ZEN analysis paper

https://t.co/Px7om6N3ez https://t.co/GHDCBQ2wY4
2020-03-01 Paper on impact of ETFs on pooled and equilibrium price and liquidity dynamics of stock constituents

https://t.co/VK75F4UYJq https://t.co/UEoyi1MnHT
2020-03-01 Factor herding effects on #FAMA factors of momentum and value • paper

https://t.co/56PdXhm4df https://t.co/fMVxzTws74
2020-03-01 Apparently, China is using facial recognition with thermal cameras to map personal identities to potential #coronavirus transmission dynamics.

A treasure trove for a health data scientists and a nightmare for privacy mavens…

#Covid19 vs #Privacy

https://t.co/EpXkShqENp
2020-03-01 #AutoML pipeline workflows in #Julia
https://t.co/m15uf1y4yD
2020-03-01 Clearview #privacy exposé

https://t.co/WTVkp740Xg
2020-03-01 #DeepFake photo detection with Python source

https://t.co/4vNr4KxKCE https://t.co/f4jEV0hLlc
2020-02-29 A practical introduction to FX Derivatives - history, products, smiles, technologies…

https://t.co/IJoXBYERxv
2020-02-29 Flask, Plotly Jupyter dashboard and #dataviz of Coronavirus

https://t.co/8C9TkJdi9e
2020-02-29 Another Coronavirus Jupyter notebook using John Hopkins culled data and Python code

https://t.co/ZBoPPoPf8v https://t.co/aWWa3vlWsg
2020-02-29 An experiment:
Quantum Black Holes,
Wormholes,
the AdS/CFT conjecture

- The Atlantic https://t.co/BWNZD1jBmW
2020-02-29 I am often asked for good place to start to learn machine-learning applied to time-series prediction - this excellent 3-part journey by @eprosenthal into scikit, ARIMA and X is a very good start.

https://t.co/JWWwbRi7wM

https://t.co/ORryuslCd6

https://t.co/NTiy0EBezb
2020-02-28 Kaggle kernel with pandas_profile of Coronavirus transmission data

https://t.co/tFORJVrdUB https://t.co/Z3eIxRTlY1
2020-02-27 Volatility Virus | in FT

https://t.co/UiYNxzz4BM
2020-02-27 Hmmm
https://t.co/bYaCz1CalH
2020-02-27 Kalman Filter and Coronavirus prediction

https://t.co/6SfdWtQygS https://t.co/gYabBR95hN
2020-02-27 YC’s startup founders guide
https://t.co/Os8I5hynii

https://t.co/x2PuJpc9R0
2020-02-24 Useful #dataviz options to inspire…

https://t.co/TJPTtnYyEm https://t.co/nOm6WnEHmf
2020-02-24 And the Python (and R wrapper ) Github site for extended isolation forests is here:

https://t.co/AnSr9rrkh7

#anomaly #rstats
2020-02-23 Machine-Learning Model Interpretability with feature selection and Python code to capture marginal linear and non-linear effects

#ml blog post
https://t.co/nOZkUJAc6u https://t.co/wbzioG1fcG
2020-02-23 Coronavirus transmission #EDA in Jupyter Python

https://t.co/xyuTdjzk0K

#Covid19
2020-02-23 Generally, not a good idea to short bet against RenTech
https://t.co/OgAmGXurFp

(and JPMorgan)
https://t.co/jEbp4btFN7


https://t.co/vfpQC2Qpuj https://t.co/voe4vcApAe
2020-02-23 Uber’s open source M3 Time Series Database #m3db optimized for streaming, massive scale #IoT and #AI

Profiled in this article:
https://t.co/EhbsIa3r7S

Source:
https://t.co/9mV9HCGsJ1

Video:
https://t.co/zoliCS2aZ2

Spinoff by ex M3 engineers:
https://t.co/w05GV835RP https://t.co/rr28UvSpTb
2020-02-23 VectorBT

Vector backtesting library at scale, in Python

https://t.co/P8v84yKLit https://t.co/bMPL6Z4eBS
2020-02-23 Extended Isolation Forest #ml methods and #anomaly detection

https://t.co/T5C8duvzGu https://t.co/NJ47GAb5I3
2020-02-22 Outbreak Analytics

https://t.co/AIenMbjWBw https://t.co/g5KYdT9KXR
2020-02-22 Paper - a long short-term memory deep-learning
(LSTM) network is apparently able to detect asset bubbles.

#ml

https://t.co/wMha8WONMg https://t.co/2mIxGmQL3H
2020-02-22 JPMorgan report on institutional Blockchain initiatives for cashless payments

https://t.co/gRWbt84wSV https://t.co/44weGkqasj
2020-02-21 Liquidity Dynamics in Australian Stocks • paper

liquidity momentum, industry effects…

https://t.co/X9zazmtwDj
2020-02-21 Corruption Networks
Paper with #dataviz analysis

https://t.co/A7yStA2HnA https://t.co/VhLo2f22d8
2020-02-21 Paper on intraday #Crypto trading dynamics

https://t.co/6N0citvTrC https://t.co/iDX4OtBb1e
2020-02-21 Stylized facts and #lob dynamics of Bitcoin - paper

https://t.co/apfhPsGZOr https://t.co/UhmHq2bDsl
2020-02-21 Greta = ‘Github, but for Data’
#Startup
https://t.co/JDadUE79dY
2020-02-21 Another R Shiny #EDA of Coronavirus

https://t.co/DLOs7SUIhF

#Rstats https://t.co/Y59GvINhZT
2020-02-21 Think Stats ebook
#EDA in Python

https://t.co/Ebaf8sj6Ak https://t.co/4ybWx83MHL
2020-02-20 Morgan Stanley buys eTrade - a reflection of consolidation zeitgeist, secular decline of retail brokerage revenue growth and the increasing importance of cross-selling and information synergies with Wealth businesses

https://t.co/FQGQ3Q7g1S
2020-02-20 On private markets | in TheEconomist

https://t.co/TdhlupchxA
2020-02-19 Wow - awesome trade.

https://t.co/IIxGBr79Qq
2020-02-19 Paper on the real value of stock market in China

#QFII
relative price-infomativeness

https://t.co/9IRNsCz0Ez
2020-02-19 Article on building an SMS Coronavirus Alert System using Python with Selenium and Twilio

Article:
https://t.co/h4pdkvj7b4

Source:
https://t.co/S8WjmYfxeg

Related Dashboard:
https://t.co/16l1aZfZ5F https://t.co/V1pViqnTol
2020-02-19 Excellent read on Amazon’s challenge to data privacy

https://t.co/kkOaeHOoCo

#gdpr #privacy
2020-02-18 R code leverages #ncov19 library to explore coronavirus as a stock market factor and recent returns…

#IC #rstats

https://t.co/f2N4UnV7rF

https://t.co/jKTkTfwtcA https://t.co/oOdjjwdBt0
2020-02-18 Covid-19 / Coronavirus data and charting exploration in Python code

Article:
https://t.co/3rUwg9Ac2r

Source Code:
2020-02-18 Infodemics, disinformation and coronavirus

https://t.co/3NR6WMeh2J

https://t.co/xPuwalMCH3

#COVID19
2020-02-17 Similarity measures can be leveraged in machine learning models to predict stock price movements as per this paper:

https://t.co/aVzU1g1vMH

#ml #timeseries https://t.co/ohsj7AYjFH
2020-02-17 Dark informed #HFT liquidity, spread, asymmetric information advantages and impact on stock market quality

https://t.co/hVyzTGAYrg https://t.co/AGTN9LTkke
2020-02-17 MiFIDII Closing Auction trend analysis
https://t.co/FvQlif9S56

#SI #Liquidity
2020-02-16 Shiny R #Rstats https://t.co/KoDuusvSJk

And Streamlit Python Coronavirus Script Apps
https://t.co/xy2nvxvxOk
2020-02-15 Fake news detection using Python, AI - #ml and #NLP tools and human engineering

https://t.co/kJHo0M4ZWk

#FakeNews
#disinformation #misinformation https://t.co/tpOL0X39rC
2020-02-14 Systematic review of financial time-series forecasting using machine learning - paper

https://t.co/iIZaUr0Wp6 https://t.co/nER3XAj2Ho
2020-02-14 Corporate Bond Market Making - paper analyzes perspectives across time, regulatory regimes, and stylized facts

https://t.co/xvU64ihXyM https://t.co/JeXXCWYWUs
2020-02-14 The Atlantic on economic impact of Coronavirus

https://t.co/YvQjbO9fHy
2020-02-13 FT on Quantamental, #ML and AltData

https://t.co/kS6kK5oxY6
2020-02-13 Sentimental about Sentimentr

#rstats R package for polarity extraction, analyzing text for psychological or sociological studies. 

Package:
https://t.co/vxL69ajc8W

Article:
https://t.co/PoR7tnTCWo https://t.co/OEC3K6qHTf
2020-02-12 Deep Learning of stock prices using Hyperparameter optimization, technical and fundamental features - paper

https://t.co/bApnDCyP5d https://t.co/RDkIvC5NRS
2020-02-12 2019 Factor Returns…
https://t.co/CQqRNqACHG
2020-02-12 Reversal trading trend detection using MLP classifier, news and technicals - paper

https://t.co/t7jbo1UzoZ https://t.co/0CZjjOFXiK
2020-02-12 Coronavirus Health Map

https://t.co/n2p4GB4c0i

https://t.co/dVGSSlUoMz https://t.co/BuCpmZp3X3
2020-02-12 Coronavirus real-time geo-tracking in Python

https://t.co/CW5JPyRO9A
2020-02-11 10Ks and Jupyter Python code

https://t.co/ZTKOQPaF38 https://t.co/e6H3pRnZWX
2020-02-11 10Ks, #NLP and Python code

https://t.co/djk6JLKqsu
2020-02-10 Why platform companies often fail

https://t.co/fxuHyZRJmA
2020-02-10 Market microstructure design of a market for data ‘to address the lack of information and incentives and tackle the problems of data sharing, discovery, and integration.’

#paper

https://t.co/2WJlRfPHm3 https://t.co/DUxEWEA2y7
2020-02-10 #ESG Futures Launched
https://t.co/G1fuWwKmHx
2020-02-10 Multi-Domain specific sentiment analysis in Tensor Flow / Python code using Google News embeddings

Paper:
https://t.co/mTikD64KFH

Code:
https://t.co/NMONtCvgqk
2020-02-10 Coronavirus App sources multiple data streams |
in Shiny R #Rstats

https://t.co/WW08RglN7r

GitHub:
https://t.co/vpg70enj32 https://t.co/2k8jMD5W9Y
2020-02-10 Early analysis of Coronavirus outbreak in Wuhan

in R #rstats

https://t.co/XZsEMq8ps5
2020-02-10 Paper models international cases ex-China of coronavirus using exponential / Bayesian model and higher rate of doubling growth @ ~2.9 days

https://t.co/dkQnzrPJJV https://t.co/MEKxHEAqJk
2020-02-10 Deeper dive into a DASH based dashboard of coronavirus and its callback based architecture

https://t.co/KwRVij6LEJ
2020-02-09 Data science, scraping and coronavirus tracking across databases, and news sites
https://t.co/JammIRIgHd
2020-02-09 Data markets, PayPal and other out-of-the-box emerging exchange operator strategies
In WSJ

https://t.co/DlQ7HBBzOG
2020-02-08 Jupyter Notebooks and Python implementation of SIER and EPI models for #coronavirus
By Yiran Ying

https://t.co/zVjfauSJl2

https://t.co/ydb8kLanAm

https://t.co/3iK4mlWJyR https://t.co/cSMYQ4GHcP
2020-02-08 #Cornavirus Travel Model

“Even under best-case assumptions, we estimate that screening will miss around half of infected travellers.”

Paper:
https://t.co/cWaBeawiay

GitHub // Traveler Screening:
https://t.co/eR50FGjhWP

#Rstats
https://t.co/3AF15uJ3KV

https://t.co/vMMzL26ruU https://t.co/CjkXOMe0MH
2020-02-08 @farobursatil Python and @CARTO applied to #geo charting spread of #coronavirus

https://t.co/Oo0Q3vwMuT

https://t.co/AkonSMOtLd
2020-02-08 @farobursatil Omg - that is an awesome thank you meme! Happy to help our community.
2020-02-08 DASH Python source for a Coronavirus Tracker App

https://t.co/qZAN6KqjWA
2020-02-07 Traditional market analysis does not explain price behavior of stock. This FT article sums up the Retail FOMO & values investment dynamics:

https://t.co/xhNaez3FRB

‘15th most held stock by investors on the Robinhood stock trading app, with more than 150,000 users owning…’
2020-02-07 Trade classification paper (2018)

Simple parametric estimators of trade flow direction using Bayesian maths extends earlier works of Roll, Easley, Hasbrouk and others

https://t.co/KdDr8xjmQx

#lob #flow #marketmicrostructure #paper
2020-02-07 This handy article provises a timeline and links to each reported coronavirus expansion event

https://t.co/r9LQ7YPmhV
2020-02-07 Pandas is awesome, and databases can be too slow for ML and tensor based analysis …. other tools like xarray, Zarr, vaex, dask exist.

Python’s Datatable is there as well, this short article on how Datatable can analyze 100,000,000 rows of data https://t.co/Qi1tziuOie
2020-02-07 Neural Nets with PyTorch - Tutorial
https://t.co/QhTrqDDVsx
2020-02-07 Transfer Learning, small data and why Deep learning isn’t so hard anymore…
https://t.co/6qJKFvD9wk
2020-02-06 Yet another curve-fit based Coronavirus model in Jupyter Python code

https://t.co/0tC59At7Qw https://t.co/tQ9jZ8qrLC
2020-02-05 Modeling #Coronovirus impact across large urban cities with Python

https://t.co/Qu8rlEIJFZ https://t.co/aVrJ3sefgX
2020-02-05 #Liquidity remains the number one concern for institutional traders, in particular as trading #flow continues to fall

https://t.co/45mj8yhnN0 https://t.co/hGx86PLhXE
2020-02-05 Quantifying high frequency trading paper

#hft #marketmicrostructure

https://t.co/iziVX7IS2u https://t.co/VkfHdNcW3r
2020-02-05 FT: Synthetic Data

“It is a strikingly utopian vision: data that is not fake but idealised, used to hone perfectly just and fair algorithms in a digital paradise where data is still king but ruling as benevolent monarch rather than prejudiced patriarch."

https://t.co/fzMyzZLmzZ
2020-02-04 More PyTorch adoption momentum

#AI

https://t.co/ScxMxHp0ti
2020-02-02 @pzlnts @paulportesi Try this direct link to the paper -

https://t.co/luEPYFaqDJ
2020-02-02 An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification using a variety of statistical and technical indicators - paperp
https://t.co/N3IU6WXBwy https://t.co/Fq2S8ANwjs
2020-02-02 Good Morning New York!
Happy Palindrome Day

Today is a rare #PalindromeDay!!!

02-02-2020 ↔️ 2020-02-02

#PalindromeDay
#GroundhogDay https://t.co/gFipOAETdP
2020-02-02 Python source code for
#Coronavirus 2019 nCoV realtime Tracking App

Scapy + influxdb + grafana + NLTK + Stanford CoreNLP + Elastic Search with Docker Container

https://t.co/GGRGj5hm4Y https://t.co/KrtUlbdYdo
2020-02-02 #Coronavirus Short-Selling Dynamics

China Sticks:
https://t.co/ItJGtOep3Z

US Stocks:
https://t.co/swFcgtqvzJ

Via research by S3 Partners Ihor Dusaniwsky @ihors3 https://t.co/Dsif7QUtj2
2020-02-02 #AI and our roadmap of dystopian challenges
https://t.co/ctB43U1r8o
2020-02-02 Trigonometric Interpolation and Trading Signals Technical

https://t.co/yGP0Vw4cfg https://t.co/QMj8GbHc0m
2020-02-02 Nowcasting the potential domestic and international spread of 2019-nCoV - paper

https://t.co/rAOozaRXAg

Model is parameterised with the latest mobility data from OAG and Tencent and R0 is estimated using Markov Chain Monte Carlo methods with Gibbs sampling.
2020-02-02 Jupyter + Amazon S3 + Spark + Python + AirFlow
Short Interest impact on stock prices

https://t.co/9YVDJHSvOX
2020-02-02 Another Python Jupyter Notebook charts rolling yield ratios as a recession indicator

#Econometric #EDA

https://t.co/SWwHPiPglG https://t.co/9xvJztLosV
2020-02-02 Real-Time Python plots in Jupyter Notebooks using JupyterPlot

https://t.co/73btosZHUx https://t.co/eHNX3FyuOs
2020-02-02 Python Jupyter Notebook illustrates leading indicators for recessions

https://t.co/mscXocpvms

#econometric https://t.co/ra5ViJSR5q
2020-02-02 #ML Ops

@imakashdesarda

https://t.co/yxYI8JMqTX https://t.co/Lm3O3zRX5J
2020-02-02 #ML Pipelines in sklearn tutorial

https://t.co/Nhipe8tfbk https://t.co/91dqYpbZqS
2020-01-30 Say hello to Mena

“Meena was trained on a whopping 341 gigabytes of public social-media chatter”

https://t.co/OxpSLAFpo0 https://t.co/iIoEADNObA
2020-01-30 Early Transmission Dynamics of Coronavirus paper in New England Journal of Medicine https://t.co/8sQjXH1tAM
2020-01-30 Python code and JHU CSSE data for charting
#coronavirus

https://t.co/CaJQGKLsdk
2020-01-30 Another #rstats model of #nCoV2019 transmissibility:

https://t.co/zKF54KD2hB
2020-01-30 #rstats based stochastic model of coronavirus

Code:
https://t.co/OdbQyCKbEX

PDF:
https://t.co/1sR4LIS8MH
2020-01-29 What happens when you subject deep-learning based trading agents to evolutionary pressures?

https://t.co/F0iMTZN4Tm

#ml paper https://t.co/mnRgYrBn7M
2020-01-29 A functional Python-speaking deep-learning THiNG is now a Thing!

https://t.co/MN0CQfIjGN
2020-01-29 The murky dark info trading economy at our doorsteps
https://t.co/Y9w7yZxMEk

EFF Report:
https://t.co/6iHKa9tgOj

Why is RING so easily hackable?
https://t.co/S9W3oL10Ao

And can be a backdoor into your WiFi
https://t.co/2XsW1pGEIO

#dataprivacy #GDPR #hacking #cybersecurity
2020-01-28 Paper compares estimators for realized and implied volatility

https://t.co/AJYq4qPslq https://t.co/JVkYrjIX6x
2020-01-28 Uber is no slouch when it comes to depth of machine-learning stacks

Plato - voice agents
Ludwig - no-code #ml models
Horovod - deep learning training
Manifold - #ml debugger
Pyro - A Native Probabilistic Programming Language

https://t.co/iQGjZmlYtI
2020-01-28 Beta Convexity…

https://t.co/fBgXiAWQUE https://t.co/D7EhKYZQiS
2020-01-28 Dispersion of returns and tail risks…

https://t.co/pxxH7CFvo9 https://t.co/xKtujA7f3f
2020-01-28 Liquidity Quality and Gamma

https://t.co/onjsQSk2k7 https://t.co/TOtOmdj35b
2020-01-28 John Hopkins interactive dashboard of coronavirus

https://t.co/16l1aZfZ5F https://t.co/VwxipnkHs8
2020-01-27 #nCov Coronavirus
R #rstats Shiny App
https://t.co/S1yO3u3fs5
2020-01-27 Coronavirus Wuhan-Hu-1 #nCoV

Deep learning
https://t.co/ZCGBn66Aqy

Bioinformatics
https://t.co/6rWvs9Qc4L
https://t.co/ugUIbJdyEo

Jupyter #dataviz
https://t.co/MWpHe0rZLx

Scrape/Twitter
https://t.co/DvIjLv0dFf

Thread
https://t.co/Qa9wIRzpIR

Stats
https://t.co/yU3Q0Ksh0C https://t.co/4oX7lPjYpc
2020-01-25 #AI innovation shape

https://t.co/uT3UGlWa0C
2020-01-24 Portfolio construction and optimization using #LSTM model for prediction with integrated optimization - paper

https://t.co/tx7AtSUvqi

#trading #risk #ml https://t.co/awT6D5L5U0
2020-01-24 Sector breadth trends and related R code #rstats and #dataviz gif animation #flow
https://t.co/MoSg14Ng2S https://t.co/6I3gRsHrt2
2020-01-22 OECD report on Financial Asset Tokenization

https://t.co/F7MOhDtQKI https://t.co/3MZVJxJB3J
2020-01-21 ‘Rogue mutations of capitalism’, big tech and and an in-depth perspective on Roger McNamee
https://t.co/ui3yt1NNTo
2020-01-21 Blockchain applied to secure the #AI pipeline of hyperparameter, models and test results in this short blog post by Microsoft Research
https://t.co/JXSRw7ZOLK
2020-01-21 “There are broadly two adoption paths for new computing technologies. Inside-out technologies are pioneered by established institutions. Outside-in technologies, by contrast, start out on the fringes."
https://t.co/2j6mw4yIT4
2020-01-21 New VC Types:
Revenue-Based Investing and Shared Earnings

#vc #startups
https://t.co/vyvOZriYXd
2020-01-20 Awesome zoomable rendering of any city or town. #Geo #Dataviz built in JavaScript with accessible source and open license.

Run-it here:
https://t.co/s7MXPqvCLS

Source here:
https://t.co/bgXgCalK0k https://t.co/F5oeWegNDm
2020-01-19 Interactive Linear Algebra ebook

https://t.co/wqJOaTMuL7

PDF:
https://t.co/ZTg0Ldqdcr

JavaScript and MathBook XML example source:
https://t.co/FAOLbdJClj
2020-01-18 Equity Factor Crowding paper

https://t.co/56PdXhm4df https://t.co/rBHzRdWgcR
2020-01-18 Then there is today’s NYT article about Clearview a startup with tech and #AI, breaching privacy normalcy in such a way that even Google shied away from them…

https://t.co/JEBBYt0AFH

#privacy #GDPR
2020-01-18 Investmentsim

A small R #rstats package to simulate investments

https://t.co/PuovgdASoa

#montecarlo https://t.co/NsQqyzsb47
2020-01-18 Shanghai Stock Market

Paper analyzes stock volume, monetary policy using a variety of methods including distributional and fractal…

https://t.co/5CSUw3q5c5

#volume #flow #trading #tca https://t.co/ohPsSkIgMw
2020-01-18 Hmmm

new Airbnb #patent application using social media & private sources:

DETERMINING TRUSTWORTHINESS AND COMPATIBILITY OF A PERSON

#20190073597

”…a trustworthiness score of the person output from the rule based scoring and machine learning system”

https://t.co/7REKZuL8lh https://t.co/lssyh38RLQ
2020-01-18 On #ESG

”…boilerplate ESG disclosure is not terribly useful to investors in differentiating companies…"

https://t.co/OMOxSdgxyv
2020-01-18 Article on basic techniques for using manual feature engineering in machine learning (eg Random Forest)

https://t.co/chVUG6WoHS

#ml
2020-01-18 On the benefits of Tokenization - Interchangeability, liquidity, programmability, security, efficiency…
https://t.co/vLFgGTRAie

#Crypto #Token
2020-01-16 I’ve seen this movie…and it doesn’t end well

https://t.co/KFr0Vt1PB8
2020-01-16 Much Ado about CAT | in WSJ
#Cybersecurity #SEC

https://t.co/JkZhkRQPZM
2020-01-15 Jupyter notebook coded in Python using technicals as features (ema, macd, bollinger) and LSTM to predict stock price movements and a simple, not-really-for-profit trading strategy for geeky learning

https://t.co/70UTSQaNqc
2020-01-15 Excellent thread on design vs innovation, form vs function

#startup #productdesign https://t.co/p22RPef1Xp
2020-01-15 Definitely agree - it’s important to have worked #startup at least once in nearly every career to gain perspectives on tech and product innovation, agility, pivoting, failing fast, competitive dynamics, raising capital and more…
https://t.co/ey4QZ6yRyx https://t.co/fZFPUEYVJ9
2020-01-13 Re: 0x

flow, community, whale-concentration,

crypto metrics

https://t.co/hwLtsnjcTA
2020-01-13 IMF paper on predicting CDS spreads - various models compared, large base feature set
https://t.co/jiZxifk0az https://t.co/dFNfPkrx9S
2020-01-12 Stock and ETF Order Volume Analysis using R
#rstats code

By @jkregenstein

https://t.co/amzkZod9hv https://t.co/lzcyWfgjIS
2020-01-12 Cross-Correlation and regression analysis between oil price trends and the S&P 500 with R code

#rstats
https://t.co/rz3sc7aleJ
2020-01-11 NBA Spencer Dinwiddie is going to sell his securities-backed SD8 tokens, which can’t be traded for a year, for $150,000 apiece to verified accredited investors under SEC Regulation D, Rule 506 (c)

#Crypto #Token #NBA

https://t.co/LbGkkbqLi0
2020-01-11 Quantum Option Pricing leveraging unary representation of asset to simplify quantum circuit

https://t.co/tEDiDnvZuX https://t.co/hJHa9bPaRd
2020-01-11 Probablistic programming
JAX vs TensorFlow and NumPy

https://t.co/B53zA2PjQK
2020-01-11 CorrGAN (a GAN fitted on thousands of correlation matrices estimated from historical returns of S&P 500 stocks)

blog post with embedded Python code snippets

https://t.co/u2Id1SOQ8G https://t.co/vK67XdoNfm
2020-01-11 Paper on unsupervised machine learning techniques applied to Treasury yields with embedded R code #rstats

• nonnegative matrix factorization (NMF)

• k-means clustering

https://t.co/uEuVzJ64Eg https://t.co/gdetQ0N1kP
2020-01-11 It’s January, and the lens on short squeezes is applied by S3 Partners in this short blog post

https://t.co/vUEB75XrRq https://t.co/DVm1HzTlqa
2020-01-10 More information can be found in this Linkedin post:

https://t.co/3FETAAe5Xb
2020-01-10 After Richard Sandor invented interest rate futures, then sold his carbon exchange for almost $600 million in 2010, the Chicago trading icon is on his next big idea.

His thoughts on AMERIBOR, the death of Libor, innovation, and Blockchain:

https://t.co/q5zuvmOXQw https://t.co/s2OJkeKAVD
2020-01-09 Example of outliers classified simply using 5 #ml tools: K-Nearest Neighbors, Random Forest, …

In #rstats #anomaly
https://t.co/Tq19xmsWk3
2020-01-09 Crypto market quality analyzed in this paper

https://t.co/FWXwfmMRQB https://t.co/yoZURaU6Nw
2020-01-08 BTC belongs in everyone’s portfolio as a hedge in periods of macro stress… Better than Gold for this purpose… https://t.co/TKFumQN5Pg
2020-01-07 @Andrew___Baker @rstatstweet Oh dear, I’ve been caught in a flub.

The field 1, Mr. Carrie 0

Thanks for the correction!
2020-01-07 SVIX, short-vol-ETF analyzed in R
#rstats

https://t.co/uFZaUc31QB https://t.co/FExIEMgazq
2020-01-07 Hierarchal Risk Parity of Multi-Asset Portfoliis

https://t.co/8aiVf4I5pX https://t.co/PR9bGAVfzg
2020-01-06 12 Crypto Hacks
~$300M in 2019
https://t.co/WVVBHRD6Qf https://t.co/5smqO5MCeV
2020-01-06 Eroding Moats, Tunnels and Bridges…
https://t.co/OypCPxLxvB
2020-01-06 PyTorch seems to be overtaking TensorFlow for dominance of low-level machine learning frameworks…
https://t.co/B1NS06XWF5
2020-01-05 Paper in LSTM with Transfer Learning applied to stock price prediction using sentiment and novel framework called DTRSI with normally insufficient amount of datab, with good performance.

https://t.co/5Jqh7JDxEK https://t.co/FJiMj6CfjK
2020-01-05 If Decentralizing Twitter is Jack Dorsey’s new goal, there is no shortage of ideas how to make that happen

https://t.co/dXFgzwWVV5

And no shortage of challenges as this 100 page report highlights

https://t.co/gJcSnk1gi4 https://t.co/DIGJWRZwxQ
2020-01-05 Time-Series can be decomposed into distinct independent factors, this paper discusses a novel EEMD-ICA based analysis approach to explore the underlying factors of single financial time series, using crude oil WTI prices for illustration and verification

https://t.co/7eHBuqRH4J
2020-01-05 Dataset Drift:

BBSD (Black-box Shift Detection) in #Python sklearn code - relevant papers referenced at end

#ml

https://t.co/U7PQRjOzaS
2020-01-05 Good thread (and debate) on limitations of current production systems using time-series with #ML…

‘Any algorithm that is not organized fractally will eventually hit a computational wall, and vice versa.'

―Lsusr’s First Law of Artificial Intelligence

https://t.co/FDj3id3Xiu
2020-01-04 Hmmm - dystopian social engineering leaks as per the @Observer and an active feed of related leaks on @HindsightFiles

https://t.co/ruM7Y8Jfbg
2020-01-04 Meet Cliff Stoll and his hacker-hunter #cybersecurity obsession profiled in WIRED…
https://t.co/kGS0ITpLgh
2020-01-04 #AutoML Paper compares various tools…

https://t.co/CvRmk5bE7q https://t.co/Cu7nbgTt1V
2020-01-04 Excellent paper modeling ETF trading impact on stock price discovery

https://t.co/RcOegmRH38 https://t.co/WdhVMQzD7G
2020-01-04 PLOS Paper on using LSTM with Attention and Wavelet Transforms vs traditional LSTM for stock price forecasts

#ml

https://t.co/JUK2tYFU2j https://t.co/uHcuGWKa4p
2020-01-04 Article opines on API copyright infringement in Amazon vs Oracle

https://t.co/egwE7qM7gL
2020-01-03 A collection of crypto perspectives…

https://t.co/xcveBJZw0S
2020-01-02 BTC/USD in what seems like another January free-fall (below $7K) https://t.co/GMQv6rh7Wp
2020-01-02 @pyquantnews Thank you for the shout out.

Deeply appreciated and glad to help the common cause!
2020-01-02 Deep learning and momentum trading strategies explored in this #ml paper

#LSTM #GAN #SVM

https://t.co/tK8EXMxfIY https://t.co/63EUa9UTjX
2020-01-02 @SalArnuk @WSJ Sal, thanks for the post - the paucity of liquidity in liquid markets does not get enough coverage.
2020-01-02 Latent ODEs for irregularly-spaced fine-series using #RNN #ml

Paper:
https://t.co/QXg2lMaKVo

GitHub source:
https://t.co/viMZWb4ZIT https://t.co/kWifScizkt
2020-01-02 When #optimization is fun, and you want to roll your own meta-heuristics or adapted approach there is #Opytimizer with only numpy & matplotlib as dependencies.

Opytmizer #Python source:
https://t.co/KsN3opqcYb

Paper:
https://t.co/NfTTDEB0mU

Similar tools:
#Evolopy
#Inspyred https://t.co/RG7iPDLE1f
2020-01-01 AI, DeepFakes, Bias and assorted other cybersecurity challenges for 2020
https://t.co/VjEKpodqVT
2019-12-31 NDF Trading Volume Analysis

#FX

https://t.co/vPdB9Alp5M https://t.co/x4OGZGOMYN
2019-12-30 #AutoML now has many open-source variants; a new one is ZazuML
https://t.co/mhxz6Z7YIb https://t.co/eI0OlIqcLI
2019-12-30 DB Research:
Imagine 2030

Good read on the impact of Crypto, Drones, De-Urbanization, and other next-decade predictions

https://t.co/UnpPbI7hYY https://t.co/QVgfqhayVz
2019-12-30 “The risk of re-identification of wearable data is real.

A rule of thumb for re-identification risk of wearable data: 6 days of step counts are enough to uniquely identify you among 100M other people."
https://t.co/4xTediydDL

#privacy #gdpr #cybersecurity
2019-12-30 Stock prediction using daily returns, simple feature engineering, logistic regression #python code and TA-Lib library

#ml #trading
https://t.co/GguMrQIQeW
2019-12-29 Latency, Reg NMS and realized opportunity costs in fragmented stock markets in the US

https://t.co/5rptB1TKii https://t.co/KUQ1UcxujP
2019-12-29 Paper, “Limit order submission risks, order choice, and tick size”

empirical measures of non-execution and picking-off risks on the Tokyo Stock Exchange compared to spread and simple measures of transaction cost.

https://t.co/ZFsOLENxrG

#TCA https://t.co/shqZeZHONm
2019-12-29 Robust Equity Momentum - an asset management case study in Ensemble-based machine learning and the importance of tweaking out fragile results out of the optimization process

h/t to @jkregenstein
https://t.co/nk5WVl0MrA
2019-12-29 Crypto price jumps - paper

https://t.co/UEOAcZWuLG

#abnormal https://t.co/jOvp3a0zdr
2019-12-28 Mini-Flash Crashes, liquidity measures paper

https://t.co/dCXjnmFY2P

#stock #trading #hft #marketstructure https://t.co/kpnDQDUs7z
2019-12-28 Intraday trading of CSI Futures using deep learning, GARCH, SVM and VPIN

https://t.co/w5XVaHBqPr

#hft #trading #ml https://t.co/McTK8qKYlM
2019-12-27 Automation, AI and new competitive and market dynamics lead to 80K head count compression in banking…

https://t.co/sJbO01ReIa
2019-12-27 Causality in Time Series: reconstruct causal graphs from high-dimensional time series datasets in Python code #Tigramite
https://t.co/pSXJvQsvff
2019-12-27 Polyglots are apparently wired differently…

https://t.co/gNTGn91kgK
2019-12-27 Nonparametric Co-movement measures

https://t.co/A7wri0VAcb https://t.co/ZxwaOkA4hk
2019-12-26 The importance of data engineers to data science
https://t.co/g9t1cuYb6x https://t.co/ydOdRoZO3o
2019-12-26 Anatomy of Algirthmic Trading

https://t.co/ox5b2dZj0F

#TCA https://t.co/uGFpAGMqOy
2019-12-26 https://t.co/aE80aBGfqv

#Crypto Convexity and other decentralized protocols

https://t.co/5TWtEhADq6
2019-12-26 Volatility momentum indicators

https://t.co/whVcBjmNij https://t.co/Jy6JaXWYfV
2019-12-25 Apache Flink and Dynamic Time Warping #DTW for streaming time-series similarity analysis - paper (applies DTW to streaming ECGs updating many times per second)

https://t.co/tQwC2UpLFE

More on #DTW
https://t.co/jMhuUSuJhC

Python code:
https://t.co/M6jA04F0UZ https://t.co/rDvoFkCtg3
2019-12-25 A #Crypto uberization of brokers in market marking with the Jarvis protocol profiled here…
https://t.co/ynAioCYc9d
2019-12-25 Adversarial relationship modeled between regulators and high frequency miscreants who try to manipulate markets

https://t.co/zFeHjOCn2K https://t.co/2gLwWHWEFC
2019-12-24 Stock option pricing inference - Gaussian vs Cauchy

https://t.co/hSqUZU2rkw https://t.co/1T0GOQ1fUG
2019-12-23 The risks with Machine Learning biases, model-drift and lack of transparency in algorithmic trading engines are the focus in this article in FT today

https://t.co/dbdDjfS6Oc
2019-12-22 When scale is not a #moat

https://t.co/uoJ3pOXDf1 https://t.co/YptLYwy6ju
2019-12-22 napari: a new fast n-dimensional array / image viewer in Python | profiling the development over a decade in the making https://t.co/8NXvlyzDn9
2019-12-22 #Deepfake profiles in Facebook as profiled in the #NYT

https://t.co/eSE4Si3Is0

#disinformation
2019-12-22 #ML and Quantitiative Trading

Paper presents a multifractal formalism (MF) as a framework for testing the capacity of an Machine-learning model to reproduce some non-overlapping statistical properties of the time series.

https://t.co/D6JUdPERr6

#MackeyGlass
#FX
2019-12-22 Thanks and I understand completely that challenge… https://t.co/WxVzQjmtWc
2019-12-22 Triton:

‘In attacking the plant, the hackers crossed a terrifying Rubicon. This was the first time the cybersecurity world had seen code deliberately designed to put lives at risk.’
https://t.co/9RSC58rq8G
2019-12-22 Quantitative Backtesting Notes - short 4 page easy read - useful for the uninitiated…

https://t.co/vtSqSKIhSZ https://t.co/UHOsmCnqEp
2019-12-22 Dystopian AI Anti-patterns to avoid

#GMAFIA
https://t.co/lpb2Y8VGKl

https://t.co/IzB2HtUEnu

https://t.co/k3CB7qg4P5 https://t.co/8K7vxac80j
2019-12-22 Bitcoin Dashboard
In R and Shiny
Mempools, blocks and prices analyzed

https://t.co/l4oQnTHi8B https://t.co/p1hl4njCrT
2019-12-22 #Cybersecurity backdoors can be tiny

“a backdoor present that is only 249 bytes long. The backdoor’s md5sum is 93363683dcf1ccc4db296fa5fde69b71 and is undetected on virustotal and other threat intelligence websites."
https://t.co/vTGQVOEO2P
2019-12-22 These are the kinds of new challenges the world is facing as we approach 2020…

#drones #antidrones #swinefever
https://t.co/CR0K1azjAM
2019-12-22 #DeepPrivacy =

#DeepFake using #PyTorch and #Python code

https://t.co/A1lMO318Xn https://t.co/XEzVpOpbHQ
2019-12-21 Isolation Forest algorithm, #anomaly, and R #rstats code…

https://t.co/yAw3Oi2DEi
2019-12-21 Hmmm | Asymmetric timely access and Information…
https://t.co/pPSnocqmke
2019-12-21 Intraday stock price jumps paper

https://t.co/q35ICywpfy

#anomaly #outlier #jump https://t.co/f46GNLoQhD
2019-12-21 #NBA Data Science and #rstats code

https://t.co/0yQFH9cUzy https://t.co/lPehSbjMpN
2019-12-21 Postscript on #privacy

https://t.co/gB1DHQJhag
2019-12-21 @NetworkRailSE @SouthernRailUK @TLRailUK @GatwickExpress Never get root cause analysis with such clarity and candor from the @LIRR - all they need is a tiny team:

• a data scientist,
• a graphics wizard
• and a journalist

Post the stories on their app each day & raise awareness for the system.

Scale this approach for the @MTA
2019-12-21 Order flow, parametric, and phenomenological models of market impact along with signal and cost effects and why ‘S’ is interesting shape

Article:
https://t.co/Kc0KT59Pe8

Paper referenced:
https://t.co/3QZGJxiH8Z

#TCA https://t.co/IkFPMkoAbU
2019-12-20 TensorFlow probability in (sports and) stocks primer

https://t.co/YEZjzBJwCi https://t.co/BREE6wW7Xz
2019-12-20 MIFID II and #TCA Market Share
https://t.co/4bVDEKWc5F
2019-12-19 Analysis of #AMM Scale Automated market maker trading revenues including Citadel

https://t.co/54OlCP4t4r
2019-12-19 50 Billion Telephone Pings and counting…

NYT brilliant interactive visualizations on how our cell phones track us and that growing ecosystem

#dataviz #privacy

https://t.co/8YhM0tZmnI https://t.co/F2jqfHkqa3
2019-12-19 …the never ending market structure debate about tick size profiled here…
https://t.co/vSP2jI2gLx
2019-12-19 Notable #AltData vendor and challenges of commercial execution profiled here…

https://t.co/yQyMGK60dG
2019-12-19 Bank of England Bad Boys | Financial Times https://t.co/kJD24zBzpo
2019-12-19 Embedded Python for AI in this new ebook

https://t.co/aarHkhf5fF https://t.co/Q3YYz3c8uC
2019-12-18 HAR model for realized volatility
https://t.co/YLgDsLfBR0
2019-12-18 Bitcoin risk redux
HAR model

https://t.co/WwYDupTnSs https://t.co/3nGYX7IBv7
2019-12-17 Peak Fintech… Or Not?

https://t.co/dQAv2wyWHq
2019-12-17 Deep Data?!

https://t.co/TGJQQMrzEm
2019-12-17 Blockchain Capital retrospective report on 2019 trends - eg big tech wanting to be your bank and the impact on crypto

https://t.co/3t91XftkHd https://t.co/nOrnyp4dSh
2019-12-17 800+ page Deep Learning ebook with #Python example code

Ebook:
https://t.co/QM7FdQSzN8

GitHub source:
https://t.co/zorHyHtyna https://t.co/yrqgHcyfMG
2019-12-17 “Facebook and others would probably have to sign up to tightly regulated processes to win a licence. That may sound anathema to the principle of open access that underpinned Facebook’s social engagement tool…” |Financial Times

#Crypto https://t.co/z65Yf3Nvgm
2019-12-17 @pascal_bornet @alvinfoo @FrRonconi @andi_staub @Paula_Piccard @psb_dc @Ronald_vanLoon @jblefevre60 @evankirstel @mvollmer1 @HeinzVHoenen @samiranghosh @YuHelenYu @MHiesboeck @andy_lucerne @ipfconline1 @SpirosMargaris …and those machine learning geeks and developer teams using #datarobot or #dataiku to collaborate could also take a peek at this Python open source code base for detecting driver (trader) temporal attention-deficits on Github for inspiration :)

https://t.co/nhSiFMM13z
2019-12-17 AI infused bioreactor to thwart climate change and a #Hypergiant in this not so tall tale…
https://t.co/72PNJGJi1T
2019-12-16 @ltabb @daveweisberger @CBOE Don’t disagree with #1 and #2 but I will throw in another observation…

Current market structure is optimized for retail (protected quotes) & high frequency trading, but we are seeing more market structure evolution to entice passive factor and more cross-border flows vs blocks
2019-12-16 Anticipy: the trend of new Python libraries towards automl, automated feature engineering, continues with a forecasting library with sensible defaults and minimal configurability for time series prediction

https://t.co/x3OZHxaOLt
2019-12-16 @daveweisberger @ltabb @CBOE Execution Algos and their SORs will be able to adjust to the altered tortured market structure and determine the proper tradeoffs of possibly interacting with non-protected quotes…beneficiaries include complex cross-border trades & global factor ETFs with lower short-term α.
2019-12-16 Python time-series feature engineering techniques profiled in this article

https://t.co/1dWPrDvisd
2019-12-16 …or this could instead increase the complexity of basis risk by introducing yet another basis, thereby leaving each with less liquidity and more differences-in-convexity in between… https://t.co/nbkezaG7Fg
2019-12-16 NASDAQ’s proposal for intelligent ticks…

https://t.co/OcdJllTEcy https://t.co/oZR5AxGddb
2019-12-16 Excellent #NeuIPS thread - nites, visualizations and perspectives https://t.co/MbiaoWbaxS
2019-12-16 @pascal_bornet @alvinfoo @FrRonconi @andi_staub @Paula_Piccard @psb_dc @Ronald_vanLoon @jblefevre60 @evankirstel @mvollmer1 @HeinzVHoenen @samiranghosh @YuHelenYu @MHiesboeck @andy_lucerne @ipfconline1 @SpirosMargaris Traders also need this kind of affective technology based automated risk avoidance as well (eg when distracted by a BBG chat message, an email or while focused a different ticker)
2019-12-16 Good synopsis of NBA RPM measure and why that stat is useful to predict individual performance by @kpelton (the NBA, IMHO is catching up to Baseball for the most powerful data science in sports)
https://t.co/124tC6CeJw
2019-12-16 Rethinking the FAMA factor model…
https://t.co/PL8Uj2oWMA
2019-12-16 @macro_srsv AIS technology applied to vessel tracking is an excellent new data source for commodity and trade flows and nowcasting predictions - paper (h/t to @macro_srsv)

https://t.co/0rQpxz3Fnv
2019-12-16 Portfolio trading algorithm using Q-learning

#ml #algo

https://t.co/lZd6v6nt1d https://t.co/p9CegF8JbI
2019-12-16 Another patent that should not have been issued - algorithms have been employed for decades in order routing - this quantitative order routing patent doesn’t specify a particular method, instead blankets all machine learning math

https://t.co/rf9MONEEDO

https://t.co/Aa2rJ2FCa4
2019-12-14 Ensemble of 12 LSTM #ml models applied to stock return classification

https://t.co/CNhbFYzHeW
2019-12-13 @ltabb Definitely unintended consequences as you allude: off exchange, dark and SI flow are higher than initially expected.
2019-12-13 Machine Learning map on AWS post re:Invent 2019
https://t.co/0WiJoHfcku https://t.co/4LwPiKXWp2
2019-12-13 Quantamental vs fundamental and other classic investment strategies profiles in this Forbes article
https://t.co/ywjf7ZXvlM https://t.co/0OVac8rcxC
2019-12-12 Information asymmetry around Earnings time -

paper

https://t.co/F5ltACcIkp https://t.co/iZYvvu5xW9
2019-12-12 Trade Clustering paper

https://t.co/YHnZP5LtWl https://t.co/GyzgmmnAcC
2019-12-11 @jack Decentralized social media is far less a technical protocol problem and far more a governance and social order problem.

Misinformation management and optimizing bot utility could be a design goal.

Commercializing alternative channels under different brands could be a motive.
2019-12-11 Stochastic Volatility-Liquidity model to predict intraday variation

https://t.co/1mqO59wONw https://t.co/vL7BGyouOt
2019-12-11 Closing stock volume analysis #CAC40

https://t.co/wEwHLtJFJK https://t.co/Z6Z9a4xTsp
2019-12-11 SPY ETF Intraday Volume Analysis | Volatility, Volume and Returns

https://t.co/R91fEPCuvn https://t.co/MoNE6jVSeG
2019-12-11 Causality in Time-Series - new methods for very large interdependent time-series data sets

https://t.co/iTXFYGzx4h
2019-12-10 Compromised #AI Models | in WIRED

https://t.co/gU9mzsc9JH
2019-12-10 Neuroatypicals and genetic matching

#GeorgeChurch #Andover
https://t.co/Y0Qowy20HU
2019-12-09 WSJ on Alternative data

https://t.co/IzF00bG3bc
2019-12-08 Paper on applying machine learning to indexing multidimensional data

https://t.co/NYbC7nEXHB https://t.co/9aWxANF932
2019-12-08 Multi-factor regime switching #lob limit order book model for stock trading

https://t.co/CpyJ35NZbP https://t.co/1IW66bsRTz
2019-12-06 ETF impact on single stock liquidity…
https://t.co/s3pP5ZrqWt https://t.co/fiML8svpL2
2019-12-05 Two innocuous yet malicious Python libraries identified as stealing SSH and GPG keys

#cybersecurity
https://t.co/r3z0NgHNdf
2019-12-05 AI Startup Dataiku now at $1.4Bn valuation.
https://t.co/Was0cCnXgR
2019-12-04 @johnpcomerford IMHO, back in 2013, MSCI introduced

- iShares MSCI USA Size Factor ETF (NYSE:SIZE)

-  iShares MSCI USA Momentum Factor ETF (NYSE:MTUM))

-  iShares MSCI USA Value Factor ETF (NYSE:VLUE)

In 2017 over $1T in Smart Beta funds (as per link below)

https://t.co/xih5KeuBXX
2019-12-04 Nature Article in new tech to browse and #dataviz genomes:
https://t.co/cvUxtEXfZK

Genome Browser:
https://t.co/EIWrb5UdPU

Source Code:
https://t.co/rSKPFS2mge
2019-12-04 Startups and Uncertainty - excellent Hump Day read
https://t.co/cJyiBt3uAI
2019-12-04 Wealth by generation and short #rstats code snippet to #dataviz it

Via @cavedave

https://t.co/udTGqoB03A https://t.co/Bw4GmSSwpN
2019-12-04 Ungoogling the tether that binds us…

https://t.co/NTkKjsiA9T
2019-12-04 Smart Betas Redux

https://t.co/y5BNxKBtUD https://t.co/3Pwewm3iHI
2019-12-03 Peak FinTech? | FT Alphaville https://t.co/kFX677ziow
2019-12-03 DNA phenotyping and other dark corners of bio-data-science… | in NYT
https://t.co/AYpqc5Q397
2019-12-03 Sentiment analysis on 10K reports for returns - Jupyter notebook and Python code

#NLP #Jaccard Similarity

https://t.co/J0glTieOed
2019-12-03 0.30000000000000004 across time, computer languages and CPU architectures. It’s a website now, so it’s a thing!

https://t.co/BmCPivbzaG https://t.co/okOB3FDhAp
2019-12-02 Information share and density of high frequency #fx #flow

https://t.co/biZHuGLRTX https://t.co/RTcR1lFUdN
2019-12-02 An Almighty clue?

‘And that no man might buy or sell, save he that had the mark…'

Amazon,
Alibaba,

Auto-Facial Recognition
Affective Computing…
A Neural-Link

A hash, a mark, a code, a lack of entropy and a clue to a higher presence…

Always good to keep minds open… https://t.co/QHCBNygLad
2019-12-02 Hmmm
https://t.co/tx0DHKUORg
2019-11-30 Empirical asset returns for Bonds explored using machine learning in this #ml paper

https://t.co/BOojlBUgEY https://t.co/XoZ0AtqShd
2019-11-30 Data is the new currency…

Re: FitBit:
‘Google access to a huge trove of heart rate, activity and sleep data which it could use to create a new range of personalised health services.'
https://t.co/ExkzsVnHdV
2019-11-30 Interactive #DataViz of

The Structure of Economics
https://t.co/15KllgEIoo
2019-11-29 Kolmogorov complexity and real time streaming financial applications driven by machine-learning - #ml paper

https://t.co/iEJ5YgAm8w https://t.co/22awojLOqj
2019-11-29 Re: Ramanujan’s foundations for mathematical innovations
https://t.co/iBcGLf0Jo8
2019-11-29 Paper on ETFs and related Stock #Liquidity in redemptions, trading and other lifecycle events

https://t.co/oKhxxCgEjA https://t.co/ApDNJX0Rrz
2019-11-28 Ranking Cryptos by how decentralized they are - aka number of nodes
https://t.co/QkWMFScIAi
2019-11-28 Paper on order #flow toxicity on the NSE - order imbalances, trader types, net order flow - all analyzed

https://t.co/TxtMGnWK9Q
2019-11-28 Excellent Robeco factor model paper changes current conceptual frameworks. Their thesis:

Decomposing factors into their long and short dimensions is crucial for understanding factor premiums and building efficient factor portfolios.

https://t.co/t127eA3l7E
2019-11-28 #ML and Crypto Trading
Practical insights with machine learning, features and slippage analysis

https://t.co/wRDLWB1oE0 https://t.co/hX22tdbDf6
2019-11-27 Article misses other use cases for Crypto reporting

Ops and market risks are much higher than OTC derivatives and FX but still useful in some portfolios so risk and independent valuation reporting are key.
https://t.co/LRbIq138b5
2019-11-27 CNN-LSTM limit order book modeling paper targets #lob price differences and using depth as a stationary feature

https://t.co/kORndUHjrn https://t.co/5T3ufeamZ3
2019-11-27 Twisting VWAP into a point-in-time yields a microprice spread indicator as this introductory two part article on elementary market microstructure explains…
https://t.co/j0CXEa3Iqq https://t.co/61T1Gaf9sP
2019-11-27 LSTM applied to stock market price jump prediction paper using limit order book based feature sets

#lob #ml #flow
order imbalance

https://t.co/nNVj3VnglR https://t.co/9NRcnfVAU8
2019-11-27 Knowledge Graphs algorithms in Python

Pykg2vec

Paper:
https://t.co/MGNYgnkGax

Source:
https://t.co/XIlEcKpiZy https://t.co/qpx6vj8lLo
2019-11-27 NYT

“Powerfront does keep a record of customers’ past sentiments. And the company has access to an extraordinary amount of information. It not only knows when consumers are buying blouses, but also their favorite styles and fits.”

https://t.co/xPFivG1ErP

#privacy https://t.co/4vBACaWbfI
2019-11-27 Crypto #AMM Paper

DRLMM framework demonstrates the effectiveness of policy gradient methods in solving stochastic control problems in market making using limit order book data and trade and order flow indicators.

https://t.co/yk6tvkrhaj

#deeplearning #ml
2019-11-26 Data Science is the new #NBA

Modern NBA Positions Analyzed

https://t.co/kjNJ9BjvEX https://t.co/vMZJiwWxTr
2019-11-26 Defending the indefensible in the NBA with heuristics:

Exhibit A: free throws
https://t.co/0WRcGi6z8M
2019-11-26 Dark Pools can’t be reduced by reductionist argument to not ‘Lit’ venues - there are varied consequences of exposure to toxicity, different matching patterns, signaling and trading costs based on the particular pool the trader or algorithm make…
https://t.co/ZLeBALWzyM
2019-11-26 @Jaysivahf Thanks for the #FF
2019-11-26 ETFs: Index replication and impact on liquidity

#tca #arb

https://t.co/oKhxxCgEjA https://t.co/BxdUebs9Ve
2019-11-26 Expected consolidation of online brokers…

https://t.co/y5Ib2wxEiT
2019-11-25 Collection of Jupyter financial notebooks - Derivatives, Heston, Kalmon, Transaction Cost Modeling…

https://t.co/pc3BfIXXJg https://t.co/CSmzxCfoSW
2019-11-25 Partial index tracking using novel reparametrization and deep learning with performance optimization - eg Sharpe, Max Drawdown - paper

https://t.co/UeoSt3qzJz https://t.co/CvSUnGw0hM
2019-11-24 Fabulous historical perspective on Atomic Bomb spies in NYT

https://t.co/Xhwu0MLne4
2019-11-24 Natural Language Text Generation

#GLT2 and their writings… | in WIRED

#NLP #AI
https://t.co/vg5bM4dUct
2019-11-23 Sigmoid and SanKey

https://t.co/GWtD0O6buE https://t.co/eMuu8dgs7b
2019-11-23 Hmmm

$FB #GAN #DeepFake #FacialRecognition

https://t.co/xXIFThDOqK
2019-11-23 Deep Momentum Networks - a hybrid class of deep learning models which retain the volatility scaling framework of time series momentum strategies while using deep neural networks to output position targeting trading signals.

https://t.co/xIKhJbuNYi https://t.co/ttTrKVTfsp
2019-11-22 Rocket - Exceptionally time-series classification in Python using linear random convolutional kernels

Paper:
https://t.co/NYvNWuN68Y

Source:
https://t.co/mI51D1TBgC https://t.co/VwSE9Uh9HQ
2019-11-20 Good short into to #TCA and Optimal trading

https://t.co/nyLrrbrMZX
2019-11-20 An alarming Google Android cybersecurity vulnerability profiled…
https://t.co/3IorI5phGT
2019-11-20 Causal relationship between financial news and stock price movements explored in this short paper

https://t.co/N59H35ygQs https://t.co/e1QXFmErrz
2019-11-20 Equities VaR modeling

https://t.co/NYkLI4XydK https://t.co/oeA2qjssn6
2019-11-20 tug-of-war between intraday and overnight returns:

“the smoothed spread between the overnight and intraday return components of a strategy generally forecasts time variation in that strategy’s close-to-close performance…"

https://t.co/P0xrWNISOc https://t.co/AwdfgnKVIh
2019-11-20 Mixing scalar, functional and compositional data for stock market predictions

https://t.co/p1bJ7oGGaW https://t.co/fMStFOallL
2019-11-19 Python for Econometrics - revised and up to 1,590 pages

https://t.co/q3ZOKNjiiJ https://t.co/tIT8DCM0YY
2019-11-19 Deep learning for time-series classifications - paper

https://t.co/b5Q0UdDboc https://t.co/NpJSdugUdw
2019-11-19 Crypto cybersecurity takeaways

https://t.co/5flGPv7UPV https://t.co/sYAT6DCpk1
2019-11-18 Breaking Mimblewimble
#Crypto
https://t.co/ctiAgTpebL
2019-11-18 Factor Timing

https://t.co/n6uBj4eNyU https://t.co/SkIZM48vKp
2019-11-17 Multifractal detrended cross-correlation analysis in FX to support arbitrage trading paper

https://t.co/OsIRkKNinN
2019-11-17 Applying recent #NLP advances to classification of #timeseries

https://t.co/CHzR23Um3d
2019-11-17 Deep learning for high-dimensional time-series

https://t.co/POrPtiXe0N https://t.co/GKbtUqTnGy
2019-11-17 Re: Open Office
————————
“Many common assumptions about office architecture and collaboration are outdated or wrong. Although the open-office design is intended to encourage us to interact face-to-face, it gives us permission not to."
https://t.co/Zee5WZj735
2019-11-17 Formal review of fundamental vs technicals signal strength #alpha

https://t.co/a517RUsBNL https://t.co/EEWjQe35tu
2019-11-17 Pairs Trading

https://t.co/w2wyfJVjED

Deep-Q Reinforcement Learning
Cointegration https://t.co/j20InQj5Ar
2019-11-16 Coinbase is apparently in discussions to acquire Tagomi #crypto

https://t.co/sSLnOL6T8c
2019-11-15 Stealing Signs in #MLB

Data Science Discovery

And impact on Baseball

https://t.co/jmBTYkG9nM

https://t.co/bV6OLTGMCR

https://t.co/FnV2LiZD1L

Via @No_Little_Plans https://t.co/2wB4v26HUk
2019-11-14 An ensemble of LSTM neural networks using a variety of common technical indicators for high‐frequency stock market classification | paper #hft

https://t.co/CNhbFYRiDw https://t.co/bAXHtSmJAL
2019-11-14 Amazon is now a data vendor…

https://t.co/uqi5tyNXgx
2019-11-14 Statistics and Machine Learning in Python #ebook

ftp://ftp.cea.fr/pub/unati/people/educhesnay/pystatml/StatisticsMachineLearningPythonDraft.pdf https://t.co/5sf31eiLyD
2019-11-14 More on speech generative speech systems from Google #TTS

https://t.co/mekCaHQMZd
2019-11-13 Crypto Trends Report 2019
by Coinshares

https://t.co/qpE2frMXcs
2019-11-13 The shape of neural networks | in WIRED
https://t.co/px4zVEjw7q
2019-11-13 Novel hierarchical correlation reconstruction (HCR) methodology applied to bid-ask spreads, predicted from more accessible data like closing price, volume, high/low price, returns.

https://t.co/ExuxwdYwIe https://t.co/0PpqoyJnG3
2019-11-12 AFME Cloud Recomendations
https://t.co/l4BEoC5Nl3
2019-11-11 US firms and non-cross listed ADRs bid-ask spread is typically U-shaped on average, but cross-listed firms are J-shaped as per this recently published paper (albeit 2015 data set) #liquidity

https://t.co/KYDIcntGFI https://t.co/ykc53mmQqr
2019-11-11 #ML methods: SVM, ANN, and k-NN applied to stock data prediction - paper

https://t.co/q494fDTpFK https://t.co/XDnG3hoSYt
2019-11-10 Crypto order #flow analysis paper with embedded python source code

https://t.co/m4sTRfA5D4 https://t.co/k11BNAnM4h
2019-11-09 New

Theory Implied Correlation Paper #TIC using machine learning (TIC are consistent with hierarchal SIC Classifications)

By Marcos Lopez de Prado

https://t.co/sp2VU1J4nY
2019-11-08 Optimal Liquidation using reinforcement learning // #ml paper

https://t.co/jhVStq06Rg https://t.co/BMXRc60GLK
2019-11-08 Disruptive Finance #ebook

https://t.co/vYVLMUUsyx

#AI #FinTech https://t.co/GYasY01BPO
2019-11-07 Three #AutoMl risks profiled in this short HBR opinion post:
https://t.co/cRq6H1dlg7
2019-11-07 #10b18 Goldman Sachs perspective on fading Stock Buybacks on equity trading volumes…

https://t.co/YErdjX7eLT
2019-11-07 Order #flow data to provide direct measures of buying and selling pressure related to carry trading and momentum strategies in FX Trading

https://t.co/TxTPAQSpMh https://t.co/HxI9LiUAgI
2019-11-07 High frequency beats and stock specific news - paper

https://t.co/Sl0ivmkn97

Classic spike, over-reaction and reversion… https://t.co/bY371zHBoN
2019-11-07 Dissertation on modeling stock limit order books #lob by Heterogeneous Autoregressive (HAR) #ml models

Heterogeneous Autoregressive (HAR) model

https://t.co/xnXytdt7fm

Similar research by Martin Magris

https://t.co/AnlddCB4sV https://t.co/nF2KuhpU2T
2019-11-07 Trader classification by characteristics of trade/order #flow paper

https://t.co/aX4Gyl6TNk

#liquidity https://t.co/yd7kFweYM6
2019-11-07 Option implied bilateral depth-of-liquidity - paper (albeit older data set)

https://t.co/CkzlfVHiwK

#tca #liquidity https://t.co/faKPZtIIUW
2019-11-07 Compound Hawkes processes applied to high frequency stock price movements

https://t.co/vuLc0WspLx https://t.co/BOiMQjfs3v
2019-11-06 FT on growth and shifts in market data consumption patterns and how machine-fueled quantamental, risk, and other functions are usurping trading consumption hegemony…
https://t.co/ANkgJLV6wf
2019-11-06 Open source TensorFlow project Spleeter by https://t.co/ZSYo1Re5hr isolates music tracks including vocal tracks algorithmically

Article: https://t.co/1pmzDrMhfW

Source including pre-trained models:
https://t.co/vTRe2owVeu https://t.co/S7wDiX0g5p
2019-11-06 AutoML library - DABL for semi-automated ML

Presentation: https://t.co/YpSwbzAdVX

Python Source:
https://t.co/TeKa2lwydJ
2019-11-06 Githubification of Infosec / Cybersecurity

PPTX deck on Github:
https://t.co/J4m3MbdEKY
2019-11-05 Private markets digitization
#crypto

Status update
https://t.co/7TCdcx3HMC
2019-11-05 Clever use of data science…
https://t.co/zSv3H4zJBZ https://t.co/RX9ZqwODRo
2019-11-05 Paper on Quasi Dark Trading and modeling impact on liquidity without stock dark pool venues

https://t.co/ivCW4LAInH

#TCA https://t.co/Eklx282nSb
2019-11-05 Lasers as a new cybersecurity hole for Google Home, Amazon Echo and other devices | in WIRED

https://t.co/nVEnlmY5b4 https://t.co/v8U7Vo7E64
2019-11-03 Detecting media bias

In Python #ml #Keras

https://t.co/rORBALByMZ https://t.co/LVgKK6OMe3
2019-11-03 Not quite VWAP for Bonds is PMP (prevailing market price)…

https://t.co/M35Lad0wL2

#liquidity
2019-11-02 Commonality in stock liquidity - Amihud, turnover, and other liquidity indicators analyzed in this paper

https://t.co/MDpYhgdTHh https://t.co/7HHA8eTfct
2019-11-02 Dissertation on the transient market impact of various trading strategies of large orders

#tca #algotrading

https://t.co/C8thuma1L4 https://t.co/zCNzmDGaNz
2019-10-30 Consolidation of FX liquidity presence to reduce fees | #Citi

https://t.co/uTWRuh7JZE
2019-10-30 Algorithmic ‘overmessaging’ on CME Eurodollar Futures contracts as reported in WSJ
https://t.co/Pr4jgVAq9W https://t.co/2PK4oNlqux
2019-10-30 Learning to Predict Without Looking Ahead paper

Dropping values to improve a reinforcement learning based model coerces an agent into learning a world model to fill in the observation gaps
https://t.co/y5XaoYCk5d https://t.co/KhfIp1PEji
2019-10-30 RFS, aka Executable Streams are all the rage in Treasuries Trading

https://t.co/rt6QYJllWb
2019-10-30 Paxos submits no-action letter to SEC to settle equities trades on a Blockchain

https://t.co/Z7mCE3rcJh
2019-10-30 Voice cloning with just a few seconds of audio using deep learning in Python

Video:
https://t.co/2mAChBKg0C

Source:
https://t.co/YAhTpZdYpn

Paper:
https://t.co/s7CXQk0kdX

Jupyter -
downloads a YouTube Video, extracts & clones the audio:
https://t.co/0zhxYAqbhk
2019-10-29 cvxpylayers is a brand new Python library for constructing differentiable convex optimization layers in PyTorch and TensorFlow using CVXPY
https://t.co/CdfG3y78wR

#ml
2019-10-27 High Frequency Trading impact on markets - paper

https://t.co/fvPRoC9ywE
2019-10-27 Self-similarity, change-point and pattern analysis in financial time-series - paper

https://t.co/g3MYkZlIZS https://t.co/tLJbYqtiR7
2019-10-26 Elixxir, Solid, $FB and a reboot of the Web, as discussed in the WSJ

https://t.co/hHqvSptHiR https://t.co/wcntdwWqq3
2019-10-25 Google open sources

Colossal Clean Crawled Corpus

For #NLP

https://t.co/mdpzlIhn55 https://t.co/u7h0YdYf29
2019-10-25 Paper models fund flows and mispricings spectrally across the frequency domain

https://t.co/BjeUrWsJCA
2019-10-24 Simple SARIMA modeling in Python
https://t.co/jzxkwPICrq https://t.co/e2CsAqd05G
2019-10-23 I don’t know if the ‘Gestalt Shift’ to datify and build D2 + A2 organizations is around the corner, but there will be a shift of sorts to embrace the new realities of society, social engineering and data science
https://t.co/b7MxuLhxbP https://t.co/VPUXV2KWnv
2019-10-23 Volatility, volume and depth

ETFs
Cointegration, U-shape patterns and their deviations

https://t.co/B2pO61ww4R https://t.co/JPEaC7h2Mc
2019-10-22 Classifying real vs synthetic stock return time-series in R

#rstats

https://t.co/8HpCw3HzKA
2019-10-22 McKinsey report on Banking strategy and the need to innovate at scale and nuances of what that means for incumbents vs FinTech upstarts and other scaled leaders

https://t.co/QkmjvCG90Y https://t.co/INtSQuc6Oi
2019-10-22 Deloitte report on exchanges - digital transformations and disruptions

https://t.co/FmeDjja15N https://t.co/2BCzwHnaTX
2019-10-22 FinTech Investment Transactions - Q3 2019

https://t.co/NAiyNLSRUS https://t.co/jNP0l8KGLd
2019-10-22 #ML frameworks face off

https://t.co/Fz7Vi6yCML https://t.co/HkCkTMhpiv
2019-10-21 IPFS online link utility | hashes are the key

https://t.co/YZ5RgsL4RL

Blog post:
https://t.co/MFRnT3mFcn
2019-10-21 Cloud data transfer costs are rising for several large customers…

https://t.co/ER34N6Sigz https://t.co/fdtoXx9Tla
2019-10-21 Athletes as a tokenizable asset class • Crypto giddie about Dinwiddie
https://t.co/vl9UbB2ic9
2019-10-21 Impact of financial services culture on effectiveness of FinTech partnerships
https://t.co/0uVr3gFtTR https://t.co/2cVJVDCSpH
2019-10-20 Institutional equity commission trends on the heels of zero-commission retail trades

https://t.co/01HwZFr5Gl
2019-10-20 Goldman Sachs report on impact of climate change on Cities

https://t.co/D9JZSd0YFJ https://t.co/uLqLhQNmcy
2019-10-19 Agent theory and reinforcement machine learning #ml applied to stock trading

https://t.co/mScAuJfu6p https://t.co/9ZpZIofZMJ
2019-10-19 Paper on global commonality in liquidity and global market volatility in a sample of nine major stock markets

https://t.co/UuARKJkTEj https://t.co/P8iOz1poxl
2019-10-19 Mathematics for Machine Learning #eBook

https://t.co/9NNlJ55LQP https://t.co/w349HRshuD
2019-10-18 AWS, SageMaker and #MLB machine learning
https://t.co/NHFt5SzDeU
2019-10-17 Thinking about Tensors, Twitter, Terabytes and their Topology this Thursday morning

https://t.co/IuU16KUGRZ

https://t.co/3s65SDarMm https://t.co/UjcbQ29pEL
2019-10-17 A #Fable about a time series and it’s predictions in two parts…

#rstats by @robjhyndman

https://t.co/o61UQvQC9a
https://t.co/SotlID7Rk9
2019-10-17 Re: Trading

SI - Short interest
LR - Loan rates
DTC - Days to cover
LBG - Loan balance growth
ILA - Inverse loan availability
Buy rating
High beta

https://t.co/FQEGbLLWLX

#TCA https://t.co/GEtnsJjtwn
2019-10-17 Directional change based trading algorithm in FX time-series analyzed with performance measures

https://t.co/nC4CdKnMLZ https://t.co/qiTbuDIkHD
2019-10-17 Qplum and Nvidia deck on AI in Tactical Asset Management

‘only a small fraction of real world #ML systems is comprised of the ML code…’

https://t.co/9LFmOsHsDc https://t.co/eSyZUaXSxR
2019-10-17 FX OTC Network analysis of microstructure stress - Bank of England paper

https://t.co/h60mQKxPuX https://t.co/zegiziRXYG
2019-10-17 Maureen O’Hara co-author of FRB paper on Corporate Bond market structure evolution

#TCA #Liquidity #Electronification

future/ohara-zhou_electronic-evolution-of-corporate-bond-dealers.pdf https://t.co/1sOSRPJPlI
2019-10-17 International Review of Equities Market Structure Regulation - report

https://t.co/nBD9ltIHnQ https://t.co/Kn3jCJGWYZ
2019-10-17 Dissertation models reflexive (herd) behavior in FX markets

https://t.co/6QuZuviUIz https://t.co/o0EsceeAqA
2019-10-17 Survey of Bayesian statistics in Sports

https://t.co/7SBb8FRZK7 https://t.co/LcdggxnnKs
2019-10-16 SIFMA on state of market structure electronification across asset classes…

https://t.co/scAaA91uyC https://t.co/pdCBAotqHi
2019-10-16 Economics of State-led Innovation | in WIRED
https://t.co/UEwtxbzveh
2019-10-16 Gradient Community Notebooks are public, shareable Jupyter Notebooks that run on free cloud GPUs and CPUs.

https://t.co/1l9az1zelg

#Ml Showcase

https://t.co/mQfzGfa87R
2019-10-16 Limit Order Book price classifier and predictor paper - order book imbalance #lob

https://t.co/3sPeDHhaSY

And Python code:

https://t.co/V7F0ir5Ibw https://t.co/uljXomT1XE
2019-10-16 Convergence of Traditional, Prediction and Sports betting markets is in sight…
https://t.co/3fei1g9hZJ
2019-10-15 ‘Information of Market Efficiency, Volatility, Volume, and Trend from Limit Order Book’

#lob and #tca paper

https://t.co/kC3ajf739F https://t.co/gLnwmH7eEs
2019-10-15 A Robust Estimator of the Efficient Frontier

Paper by Marcos Lopez de Prado

Innovates by introducing the nested clustered optimization algorithm (NCO), a method that tackles sources of portfolio construction instability with some embedded Python code

https://t.co/ChsReA22O6 https://t.co/JkG8lca17V
2019-10-15 Nash, State Channels, Blockchain and cybersecurity equilibria…

https://t.co/0PRcPEcopY
2019-10-15 ‘Algebra, Topology, Differential Calculus, and Optimization Theory
For Computer Science and Machine Learning’

#eBook - almost 2,000 pages

https://t.co/gaTLg0L1gU https://t.co/Y9rEnXqav3
2019-10-15 IMHO, a rosy view when agg. transaction volume is in decline in some markets

“Global algorithmic trading market was valued at US$ 10,346.6 Mn in 2018 and is expected to exhibit a CAGR of 10.7% over the forecast period to reach US$ 25,257.0 Mn in 2027."
https://t.co/Vqfk4lwHOm
2019-10-14 Deep Q-learning

https://t.co/bgNzWhcRze
2019-10-12 Linear Algebra #ebook

https://t.co/Fyc8aPXCVf https://t.co/2feemveeQU
2019-10-12 Perseverance personified… https://t.co/o3xkx68r7i
2019-10-12 Liquidity and co-skewness and timing of mutual fund investments (in Thailand)

#liquidity

https://t.co/2GFmWY87zu https://t.co/qGSZO825CY
2019-10-12 Bakkt Bitcoin futures trading volume jumps 800% (albeit, from surprisingly low initial base)
https://t.co/ew86ULsi4A
2019-10-12 “mutual funds are better at public investing than they are at private investing…"

#WeWork #Unicorns
https://t.co/th95u05BH8
2019-10-10 Productizing data science means end-to-end data, analytics and machine-learning pipelines for reproducibility, scale and automated integration with workflows…

And in the near future, using AutoML in that collection of pipelines
https://t.co/1vcz08voFO
2019-10-10 @joshua_ulrich But patent rationality has emerged since landmark 2014 U.S. Supreme Court decision Alice Corp v. CLS Bank.

And recently in NASDAQ vs MIAX:

‘Nasdaq’s claims are ineligible for patenting because they are directed to an abstract information routing idea with no inventive concept’
2019-10-10 @joshua_ulrich Don’t get me started on this one patent ending in ‘382 which is part of a family of I reconnected patents

‘304, ‘132, ‘382, ‘132, ‘411, ‘768, and ‘996

https://t.co/ZX4wgwvtUA

Or their patent war with ESpeed where neither patent infringed the other…

https://t.co/uN42pSigau
2019-10-10 @JoeSaluzzi Just a guess, but 1 trade
per minute over 6.5 hour trading day = 60 • 6.5 = 390 seems like a possible origin for that number being used - also, easy to explain to non-numerologists as one trade per minute - but agree, deeply flawed…
2019-10-10 Semi-Deviations

https://t.co/kwMRHHSpbR
#liquidity https://t.co/wvdX7B6cxn
2019-10-10 Semi-Betas

https://t.co/kwMRHIa0Ar https://t.co/2x03WcYGi2
2019-10-10 More on FinTech / AI patent trends in this report:

https://t.co/TbaG3PJtcM https://t.co/g0KNXsaU7z
2019-10-10 Another patent that should not be awarded - ITG was late into the game with portfolio algorithms with integrated TCA analysis/optimization - JPMorgan (TAO) & Credit Suisse (Ph.D) and others were there earlier (2004) - so there is nothing novel here…

https://t.co/v9ZcQi47ox
2019-10-09 Hmmm

https://t.co/tIRt8cMVEw
2019-10-09 Thought-provoking essay on AI, Ethical-AI and Existential risks related to AI

https://t.co/AlUqQIxGbN
2019-10-09 Good slide deck

There really needs to be a really good reason to use a Blockchain because the tradeoffs are very different than conventional cloud-based databases

by @sbmeunier #blockchain

https://t.co/OTLrqNqBPq
2019-10-09 StockNet - dissertation on deep learning applied to stock price prediction with word vector spaces on news as a feature

https://t.co/sx06dFHldD https://t.co/W2BJWBN3NV
2019-10-09 Semi-deviation proxy for liquidity applied to #VIX - new measure proposed in this Paper

https://t.co/y7kCqsZ5XS
2019-10-08 Foundations of Data Science #ebook

https://t.co/kOaHwOI9Vr https://t.co/Dbo0A07tHc
2019-10-08 Yikes!
https://t.co/j6aZTvBEjF
2019-10-08 Compression and Performance - Parquet & Arrow by @wesmckinn

#python #rstats
https://t.co/rs2jWRYGqu
2019-10-08 Credit factor modeling via @TABBGroup
https://t.co/5rcPT6XN6X https://t.co/0OLbMY5RCw
2019-10-07 V is a high-performance and simple computer language with graphics, web and UI libraries and compiles itself in under a second.

Where were you two decades ago?!

https://t.co/tZCEgJaUTl
2019-10-07 Airbus planning to launch an index futures exchange called Skytra in May to help airlines hedge revenue fluctuations (in 1865, farmers launched grain futures on CBOT to hedge harvest revenue fluctuations).
https://t.co/g0OALTDy9l
2019-10-06 @B_Kleine Ughhh

I mispelled dissertation in the same Tweet.

I’m off my game today AND It was a different document that I was intending to Tweet.

Thanks for spotting my gaffe!
2019-10-06 Crypto Pairs Trading
A Disseration

https://t.co/VaSKBLoU7n https://t.co/qDVanlPKwE
2019-10-05 Do not think a patent should be awarded to Fidessa for using z-scores for execution quality: both apply (obvious + incorrect) as aggregate execution slippage is not distributed normally

https://t.co/JpB7SKBAAj https://t.co/Blau7tUEPb
2019-10-05 Lol! The shot across the bow and the war renews again… https://t.co/1bo2tIiqsS
2019-10-05 Post FPGA…

Performance acceleration through DSLs that compile and reconfigure at the spatial / hardware level - dissertation
https://t.co/x4re2SUamf https://t.co/zmRwiifczQ
2019-10-05 Wells Fargo is predicting Automation and AI will reduce banking head count by 10%.

Chart shows relative spend by US Mega banks…
https://t.co/SrsOUNowcx https://t.co/ggD8Yghlzj
2019-10-05 Upward and downward price jumps of public stock options and the ability of implied volatility smiles and other features to predict returns

https://t.co/4gxF2GqfM3 https://t.co/EfEMOBqCLG
2019-10-05 ARIMA econometric modeling of Algiers Stock Exchange returns

https://t.co/kqSI2lhWKM https://t.co/vlFHXwyKbW
2019-10-05 Fundamentals of Python Programming - new #eBook

https://t.co/Zp5rNTzjHv https://t.co/Mvq34pRH20
2019-10-04 Salesforce CEO on how Capitalism is under siege and what may replace it…
https://t.co/AuuDqDWPkr
2019-10-04 More PE Deals than Public Companies…
https://t.co/zaKvlb11h2
2019-10-04 Now 1, 564 pages and still growing…

Lectures in Quantitative Economucs with Python

https://t.co/bqIfFSr6oZ https://t.co/OaF1MXXESu
2019-10-03 Summary of #Crypto research

https://t.co/5gXLwmcFzZ https://t.co/sKVMcGX7Bl
2019-10-03 Macroeconomic news factor model for energy stocks in China

TVP-VAR model
Change-point analysis
Heterogeneous impact

https://t.co/2yWwqj9xJU
2019-10-03 Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility that maintains convexity - paper, in two parts

Relevant for CMS, Variance Swaps and other derivatives

W/ embedded #MatLab code

https://t.co/FDShtdHYx1

https://t.co/2yWwqj9xJU https://t.co/FwHYAJ1A9R
2019-10-03 Risk Parity and Gaussian Mixture Trading Models with embedded Python code (in the dissertation)

https://t.co/3rw3z5HHPx https://t.co/E48JANasyd
2019-10-03 The shift from Moats to Turnstiles is an important metaphorical difference between ecosystems and other models - covered well in this short HBR article
https://t.co/ar5VhTp8HY
2019-10-03 Different approaches for handling the rolls of futures contracts to make them continuous - including Panama Canal methods
https://t.co/0WSnhEaNWX
2019-10-03 Subtle and not so subtle cybersecurity flaws in Crypto projects and their Blockchains…
https://t.co/ymlodKzbui
2019-10-03 Technology changes exponentially, but organizations absorb and change logarithmically…
https://t.co/9LSHRDIBfz
2019-10-03 Financial charts are not always about simple logical defaults - there are idiosyncratic conventions for different persona profiles and other considerations that play in. This article covers it all.
https://t.co/L1AXg0j1wX
2019-10-03 A decentralized protocol for trading (Crypto) derivatives with integrated safety and margining features #Vega
https://t.co/4LeeWJK9WP
2019-10-03 Anomaly detection in financial time-series in Python using:

- Low-pass filters: Z-score
- Isolation forests
- Seasonal-extreme
- Studentized deviate (S-ESD) algorithm
- One class support vector machines (SVM)

#outlier #abnormality
https://t.co/02gyZ4Pixv
2019-10-03 Morningstar announces Crypto strategy: includes provenance of bond ratings on a Blockchain and a Digital Assets ratings platform.

https://t.co/GZ2slWafNU
2019-10-02 @daveweisberger David, of course you and Matt are right: retail brokerage fees include the other revenue streams as well - but, it’s clear that their revenue models are impacted & that these flow businesses will become strategic fodder for different growth engines & synergies & consolidation
2019-10-02 “If you are not paying for it, you’re not the customer; you’re the product being sold.” (2010)

https://t.co/QI024eCOGg

******************************
What are the new #flow economics?

Schwab and TD both bring commissions on equity trades to $0.00
https://t.co/OEwXcWxJiK
2019-10-02 Optimizing trade execution and liquidation using linear market-impact model with time dependent risk aversion

#TCA paper

https://t.co/YBAkr7kcN0
https://t.co/3J3zFYimSj https://t.co/0OB55Jw8YE
2019-10-02 Intraday technical analysis with change point detection, heuristic segmentation and gradient based optimization discussed in this paper

https://t.co/uzFHApSUKo https://t.co/nnKyU5rDsl
2019-10-02 Bitcoin price prediction
Deep Learning vs LSTM

https://t.co/Sxy13zbvwc https://t.co/QL54RL47K3
2019-09-29 And now the #NBA says NO #Crypto Tokens for Spencer Dinwiddle

https://t.co/BSuBjBNWG1
2019-09-29 Predicting the NODA - number of detected anomalies in equity exchanges

#anomaly paper

https://t.co/vP1m106bJO https://t.co/P3d3HtcJz2
2019-09-29 VIX realized variance prediction
using #ml paper

https://t.co/Vz88CKVwza https://t.co/uT9GtRMCr6
2019-09-28 Quantum computing behavior that happens naturally in our DNA

Paper:
#Grovers algorithm

https://t.co/jFSgyv0Z10
2019-09-28 SAX encoding baseball time-series #MLB #ml

https://t.co/HtrwpDtkT3 https://t.co/ilGJ59hw0H
2019-09-28 Amazing.

 “[This work] may be the path to a serious technological leap, whereby experimentalist would bypass the need for a full-fledged scalable and error-correcting Quantum Computer, and take the shortcut of looking for ‘natural occurrences…’”
https://t.co/J3c3fIVFMI
2019-09-27 Very interesting Crypto tokenization application with credit risk, early mortality, illiquidity and malpractice/contract breach/drug/suspension/legal risks to be estimated and borne by the token holders presumably? Of course other standard crypto risks also apply… https://t.co/unhoVDshJP
2019-09-27 @globaltimesnews @______138190 Off-gridders have little hope of remaining that way…
2019-09-27 @gjncs @TheDoorTHEDOOR @orbitalpatterns @QuietPineTrees @mosabou @Ted_Underwood @Fake_Name1234 @______138190 @chaosprime @botandy @nikete @zoltanvarju @naos @vastabrupt Many thanks for the ML #ff
2019-09-27 Good short pithy introduction to Time Series Analysis basics with Pandas and Python
https://t.co/ljcqIcYSSG
2019-09-27 Deep learning-based Bitcoin price prediction models using Bitcoin blockchain information. #ml paper

- deep neural networks (DNN),
- long short-term memory (LSTM) models,
- convolutional neural networks (CNN)

https://t.co/Sxy13zbvwc https://t.co/vieLhqCyDC
2019-09-26 Forecasting paper - State of the Art by

@spyrosmakrid and
@robjhyndman
https://t.co/iGFWRomeP1
2019-09-26 Basics of Random Forests in R

#rstats
https://t.co/3B8BucgHpT
2019-09-26 Backtesting vs walk-forward method vs simulation - which is best for testing systematic trading algorithms?

Paper by Marcos Lopez de Prado

https://t.co/yALYGcgZ4k https://t.co/VNNV6O8be7
2019-09-25 Iceberg orders on the CME can be predicted (synthetic and native)….

Paper

https://t.co/omwJ2GoaRe https://t.co/5tvbj8704M
2019-09-25 #Liquidity commonality and spillovers for commodities futures - paper

https://t.co/g4VoQbyAMY https://t.co/uZjFJoPrqY
2019-09-24 Real Estate and Python

https://t.co/7SjWmJkDeT

And the #ml code
https://t.co/mi5wZ539sS

Jupyter Zillow data set explorer
https://t.co/Or4vUZenFQ
2019-09-24 When Crypto is a Cloud and not decentralized, how does that impact the narrative?
https://t.co/HBKu2irrw1
2019-09-23 Lol… then my super serious face:

who trusts $FB with a brain interface?
https://t.co/gBXZmx8eXq
2019-09-22 “Sidewalk Toronto Tech,” and a Dystopian perspective
https://t.co/BRfqO3vmaF
2019-09-22 Lecture notes on Supervised Machine Learning

https://t.co/nCU4SOlO12

#ml #ebook https://t.co/3dumgsKxAk
2019-09-22 Multi-modal deep learning models for leveraging combined information across two global equity markets for improved prediction efficiency

https://t.co/UQftWX0UQl

#ml paper https://t.co/2h2TK0FHHF
2019-09-22 Speech recognition open source code in Python with PyTorch and support for GPUs

https://t.co/PmjKP2b6kl

Paper:
https://t.co/tUc0MSsrZY
2019-09-22 Taxonomy of MOATS

https://t.co/NuWkmppVBN https://t.co/T9QCp8QQGL
2019-09-21 @catamilho They will find their inner RegEx and play Volapük while waiting for their next gig or go to Metis and become Data Scientists before the machines code themselves
2019-09-21 Insights and historical perspectives for exchange operator pivots away from traditional trading fees as their revenue growth engine.

#LSE #HKEX #ICE
https://t.co/DXkqlYmgqB https://t.co/2gsRsetz50
2019-09-21 Liquidity link to returns for Austria, Poland and Hungary modeled

https://t.co/nuDhpn96qA https://t.co/03nx4hrMjn
2019-09-21 iCurrency #crypto paper

Generalizing Libra
https://t.co/2x5kWoVUcR
2019-09-21 ‘Traders who can’t code face…extinction’
https://t.co/Qw5u74ZDVs
2019-09-21 Deep Fake Faces ‘r’ Us

https://t.co/TKGDeB0tLr
2019-09-21 Google claims ‘Quantum Supremacy’…
https://t.co/9jky15Bx6z
2019-09-20 Anonymizing people’s faces with GAN powered Deep Fakes
https://t.co/ZJVn5kV8ak
2019-09-20 @mikeharrisNY Lol - it does seems like an enormous gap in controls, processes, and system design that all #FAILed
2019-09-20 Rogue trader loses $320M in Oil Trades

“According to the company, the employee repeatedly carried out unauthorised trades and disguised them to look like hedges for transactions with customers."
https://t.co/HzlS0djWmm

https://t.co/JrlTezs8pp
2019-09-20 Fascinating when companies post their own guidelines for targeting and acquiring other companies

https://t.co/WQP9CBUBtD
2019-09-20 Ode to Overton,

Apple’s machine learning lifecycle of building, monitoring, and improving production machine learning systems

#ml pipeline

https://t.co/mRNgbOb8ge https://t.co/eAC8WUWH8c
2019-09-20 AltData hiding in public places on Amazon’s S3 and a search utility by startup Quilt to find him

https://t.co/8vlZNT0Jqx

And some fruits of their labor presented here…
https://t.co/6vChTFrAOM
2019-09-20 I’m not sure I believe that AltData not being optimized is really a THING.

“Eighty-two percent of funds say they use alternative data. Zero percent say they’re optimizing them.”

https://t.co/9Y7EOaVCtB
2019-09-20 Dividend Analysis by @jkregenstein in R #rstats and with a two part narrative:
https://t.co/AH8hJe6Luz

https://t.co/xuakB0vl9a https://t.co/0Hz2abqLQu
2019-09-19 When a broker routes an order to their own ATS, how does that decision impact execution quality?

Paper claims very large dataset of 350M orders used to analyze micro-execution performance.

#TCA

https://t.co/5Waej5jeNT
2019-09-18 Trifecta, Explorium Paxata, Clearstory, Tamr and https://t.co/yn0jZQNWPJ are part of the wave of high-flying #AI #startups

https://t.co/7apKok3F97
2019-09-18 Lectures in Quantitative Economics with Python (1,400+ pages) - New eBook

https://t.co/Z9BGSMsuYV https://t.co/B8XY75tFLg
2019-09-18 AltData fatigue?

Alternative reasons abound for poor revenue performance of some Alt Data companies like #Thasos in a $7Bn segment.

https://t.co/MxsXFJA5M5
2019-09-18 The demise of finance domain expertise in trading is in part driven by lower levels of risk-taking, in part, driven by the passive automation-led transformation of markets

Crowdsourced alpha, in my view is a second-order effect.
https://t.co/PAL10Rwzu2
2019-09-17 A eBook about Pythonic Application Architecture Patterns for Managing Complexity.

https://t.co/r2kXDyoAE0
2019-09-16 Portfolio inference: Algorithmically reverse engineer portfolios

e.g. for detection of window dressing by fund managers & development of arbitrage strategies based on the inferred constituents.

https://t.co/Im8P1DUikB

#ml #flow https://t.co/DRFeenfQlU
2019-09-16 Twitter Hate-Speech classified using StellarGraph’s GraphSage

https://t.co/ZnJdu6p9wH

Jupyter Notebook:
https://t.co/ZxssU0YKqn https://t.co/cKY3nS7nh2
2019-09-14 Crypto intra-day stylized microstructure facts paper

https://t.co/6N0citvTrC
2019-09-14 Using R to analyze tweets at the account level #rstats
https://t.co/LL5UdHt0Pl

#twitter
2019-09-11 Bitcoin Billion$ Block trade

https://t.co/Sgqbx85n1E
2019-09-11 🤔 https://t.co/bXZhdz7j5L
2019-09-11 MiFIDII and relative Market Impact effects between MTFs and RMs

#propagator #TCA

https://t.co/xtaSYlMoxL https://t.co/9wgMkkA7F1
2019-09-10 Machine learning #flow based reclassification of stock sectors

https://t.co/XKzglUw2Vr https://t.co/Vf28B4PS7d
2019-09-10 Arbitrage-induced comovement leads to over-reaction for stocks more sensitive to ETF #flow arbitrage & under-reaction for those less sensitive.

‘A long-short portfolio constructed based on arbitrage sensitivity generates an alpha of ~ 7.5% per year.'

https://t.co/XpNir0b5rO https://t.co/yqko2WlDSm
2019-09-10 #ml Paper predicts the next-day pattern of a single stock for each combination mode of stocks using the network topology properties as input variables for SVM and KNN algorithms.

https://t.co/neiLu8SAm6

Dataset:
https://t.co/65hxOpf94g. https://t.co/K02SivkG1l
2019-09-10 @_nitishgarg @modaeastanbul Thanks!
2019-09-10 Tidyverts, tstibbles and feast for tidy time series data munging, plotting and more in R #rstats

https://t.co/vwWfE6Xkpj

https://t.co/FjNQMHaEie https://t.co/g7NlfQZcEk
2019-09-10 #Volatility - implied vs realized in its many forms - GARCH, HAR, …

https://t.co/rghkofHvvx
2019-09-10 Factor investing in Korea with market-impact costs

https://t.co/ncpsNyLiK2

#TCA paper
2019-09-09 Firms with higher analyst coverage have higher stock #liquidity for 41 global markets.

Results are robust to two alternative measures of stock liquidity (i.e., the Amihud’s illiquidity measure (Amihud), and the percentage effective spreads.

https://t.co/HAdchjsc5A

#tca paper
2019-09-09 Stock liquidity measures including auto regressive distributed lags discussed in paper - BSE500 stocks

#TCA #liquidity

https://t.co/MSx22ELbY5
2019-09-09 Volfefe!

Quantifying impact of polarizing tweets on interest rates volatility…

https://t.co/Aj16WbIaD4 https://t.co/9UZMvhAnqF
2019-09-08 Versatile HAR model for realized volatility - paper

https://t.co/9mSbfoumln
2019-09-07 CSV Code Injection hack #Excel #CyberSecurity
https://t.co/BIEFbbM6zG
2019-09-07 High frequency data for factor models methodology allows for general time variation in factor betas, and so is particularly suitable to study individual stocks and the asymptotic theory for the estimators of time-varying betas

https://t.co/GiMZZRnJAb https://t.co/9fzyemtvLD
2019-09-07 @mikeharrisNY Yeah - definitely makes my head spin just watching them all
https://t.co/VDU5KAJTBK https://t.co/N2tHHRvBtV
2019-09-07 Applying machine learning to portfolio construction: apply a combination of recurrent neural network (RNN) and a long short-term memory (LSTM) network for predicting the future prices and to perform constrained optimization on the portfolio

#ml paper

https://t.co/lZEYxjGykV
2019-09-07 #NewSpace - 20k new satellites over the next 10 years will mean risks of crashes will quintuple

Paper:
https://t.co/myfFmtA6FR

Article: https://t.co/QH2eXTI0sO https://t.co/yg7iEJmMyD
2019-09-07 Lots of web scraping to get the data, then an item-based collaborative filtering coded in R #rstats behind this Beer recommendation system
https://t.co/OmID9bXVv8 https://t.co/Wy7sNLzm28
2019-09-06 multi-level order-flow imbalance (MLOFI)
#lob

https://t.co/wVSJ04JCI6
2019-09-06 Convertibles and their liquidity dynamics

https://t.co/FoyTOdkgSu
2019-09-06 Crypto exchanges are becoming more stratified in exchange services and Bitcoin flow is less concentrated in larger exchanges

https://t.co/QGDNzu1r9b
2019-09-04 Jump-tests to capture those intraday S&P500 stock price sharp movement outliers profiled on this paper on statistical arbitrage

Methods profiled include those by Barndorff-Nielson and Shephard(BNS) and Andersen

https://t.co/3mkTxaWq0g

#anomaly #outlier #jump #trading https://t.co/5Wwav77zBE
2019-09-04 #Crypto limit order book modeling with a focus on trade order low imbalances - paper with embedded #Python code

https://t.co/p3n3OD6Ajb https://t.co/fMLWnx2B3B
2019-09-04 Sentiment connectedness and price-linkage causality with #Cryptos - paper

https://t.co/p3n3OD6Ajb https://t.co/xJN15o51Zo
2019-09-04 Extreme Blockchain Chainlet activity, characterized by transaction amounts and occurrences, is shown empirically to result in significant changes in the intraday Bitcoin price volatility.

https://t.co/IK8xzF5t2k

#Crypto paper https://t.co/ktiwzn0eWJ
2019-09-02 Mid-price limit order book price move prediction with broad Feature-Engineering

https://t.co/RTd97grbcf

#tca #lob #ml https://t.co/ZdlS9FCZTG
2019-09-02 Dynamic trade informativeness or market impact?

#tca paper

https://t.co/w88ZztfinC https://t.co/Z9ToABkjmb
2019-09-02 Instantaneous volatility estimation in this paper solely relies on a new market invariant, which links together volatility, traded volume, order book volume and the spread

#tca #lob

https://t.co/VZqPhxww64 https://t.co/YT3FD4ofYV
2019-09-01 Brilliant @cgbassa analysis of Tweet of Iranian Safir launch failure with reproducible research via his Jupyter notebook

https://t.co/vPgQE3xnOa https://t.co/aFEDMWg4HT
2019-09-01 @nic__carter on Crypto Rankings sites and Crypto-to-Crypto exchanges: “A glimpse into the dark underbelly of cryptocurrency markets”
https://t.co/2AQqZuuM1O https://t.co/NkmlSVxZYW
2019-09-01 AutoOut: Automated Outlier Detection and Treatment Tool in Python

https://t.co/YPQRVJ26EY
https://t.co/ocjagQq9lk
2019-09-01 Brazilian Equities dissertation (2018) on stochastic liquidty curves and #lob limit order book analysis in R #rstats

#tca

https://t.co/advyJWefXF https://t.co/P32J5J9OlV
2019-08-31 Paper presents a taxonomy of automated machine learning - automated
feature engineering and hyper-parameter learning

https://t.co/odQlRLwu9k

#ml #automl https://t.co/DdlywlTupM
2019-08-29 @jeffneuen Agree. With Jupyter notebooks and the pipelines behind them, it has never been easier to have the code accessible to view, apply, retest and incrementally modify. Papers, as a standard practice should link to a Github repo.

https://t.co/HHuklFZHOH

https://t.co/qGmfqsgmqV
2019-08-28 Relatively rare for a paper to present embedded code, written in JavaScript! for Bitcoin trading (2018). So here it is:

#Crypto

https://t.co/yfyGzJERoQ https://t.co/FrAMjgOk1T
2019-08-27 Good summary of #NLP advances beyond #BERT by $FB - RoBERTa, RACE, GLUE…
https://t.co/90arrWVbaa
2019-08-26 CVA calculations for derivative modeling and the Jupyter notebooks that reproduce them

Paper:
https://t.co/WuO5mYXF9b

Jupyter Notebooks w/ Python code:
https://t.co/rOeRQVoYaq
2019-08-26 Dispersion in information by dealers when market-making or risk-based trading in corporate bonds - #Fed paper

#asymmetric

https://t.co/9lNDx7Mn5l
2019-08-26 Literary order of operations for… adjectives!

https://t.co/NMq4VZux8w
2019-08-25 Python and various machine learning methods for detecting time-series outliers profiled in this article

https://t.co/plaUh43CK0

With Python source:

https://t.co/UyJnP7NejW

#SVM #IsolationForest
2019-08-25 Python based download and analysis of insider trades
https://t.co/YVz0SrBjwa

mybinder rendering:
https://t.co/o49wk8dHI8 https://t.co/DnOeV3FoMO
2019-08-25 Just-in-time

Machines are getting much better in detecting deception in human speech - dissertation on machine-learning based classifiers

https://t.co/HTtgzkLSqb

#svm #logistic #nlp #lexical https://t.co/cwpmfOyR0R
2019-08-25 Paper analyzes: ETFs distort stock prices away from their stock fundamentals and also impact of BlackRock #flow shock

https://t.co/7mZcLt3JWf https://t.co/SqJRl49S5p
2019-08-24 Tensorwatch #streams for machine learning #ml
https://t.co/1jdsNvJH3j https://t.co/Yw1i8J0CPv
2019-08-24 One week of fires in the Amazon via #NASA #FIRM project

https://t.co/IoGBvNvOMu
2019-08-24 NYT excellent #dataviz on Web tracking and #privacy

https://t.co/DAedGKZShy https://t.co/aqShZjmkMt
2019-08-24 Momentum strategies can take on many quantitative forms: e.g. idiosyncratic, constant volatility-scaling and dynamic scaling - comparative international 🌎 performance analysis paper

https://t.co/gH5QKPI7qW https://t.co/4HYnyymcEz
2019-08-24 Paper models ETF #flow dynamics and causal effects

https://t.co/7mZcLt3JWf https://t.co/mRyPOENJof
2019-08-24 Ode to Brownian motion in financial markets

https://t.co/IkwVqitRjv https://t.co/qmGP2KQTmX
2019-08-23 @chanep Blame the patent office examiner(s) involved…
2019-08-23 Statistical causality via Granger and a bit of R code
#rstats

https://t.co/cMZIKM3spr
2019-08-23 Even Google has a recent patent on an abnormal trade kill-switch using exponential moving averages

https://t.co/BsC73Ip1iu https://t.co/kmw8Za54oW
2019-08-23 “Would ICE buy Bloomberg?"
At what price?

https://t.co/FIXQPbzyyX
2019-08-23 It’s getting hot 🔥 in here,
Hardware malfunction,
Pre-trade check gap,
DevOps snafu

==>
Bitcoin sold at $1

#abnormal trade values and/or market data should trigger trading halt - so many good algorithms for detecting outliers and abnormal values
https://t.co/kamnM509Ve https://t.co/f7e9MWvcOk
2019-08-23 Using the temporal evolution of clusters to detect anomalies in code and across other networks:

“A self-learning algorithm then detects anomalies in the temporal behavior of these evolving clusters by analyzing metrics derived from their developments”

https://t.co/mVB0MN3QgC https://t.co/FldzXx1k35
2019-08-23 Realized Moments for underlying stocks - variance, jumps, skew ness, Kurtosis -

https://t.co/BvzH9zjxgm https://t.co/U1UFsupX89
2019-08-23 Probability Adjusted Volatility Spreads (PAVS) Paper

https://t.co/kSB4sRLgw8
2019-08-23 Stock price fluctuation link to news features (from market data vendor)

https://t.co/UX01l7LlBl https://t.co/WgtNLDGPGT
2019-08-23 Dissertation

“effective applicability of machine learning methods for mid-price movement prediction, over the nature of long-range autocorrelations in financial time-series, and over the econometric modeling … in high-frequency settings.”

Paper:

https://t.co/HX1LMi0x5v https://t.co/pgR7FE3W0w
2019-08-23 ‘crypto portfolios constructed via optimizations that minimize variance and Conditional Value at Risk outperform a major stock market index (the S&P 500).’

https://t.co/ik0lvRhB1Y https://t.co/1oTfMbO22s
2019-08-23 Intraday stock liquidity across various global markets analyzed with stylized facts and auto-regressive modeling

https://t.co/5ajcE2XFat https://t.co/m6rPyp2PLp
2019-08-23 Forensic trade-matching paper for #lob stock trades in
Paris, London and Frankfurt

https://t.co/iaSXBGSg8w https://t.co/0n4fOn0Zj0
2019-08-22 Sector Rotations using #SVM #ml in Python

https://t.co/Ngjqyl16wu

https://t.co/EmqbzMtSXi
2019-08-22 Impact of #AI on jobs in financial markets, advisory and trading businesses
https://t.co/r8gDDzvMkN
2019-08-22 Mathematics for Machine Learning - brand new #ebook

https://t.co/fxkvgZ80In
2019-08-21 Detecting stationarity in time series

https://t.co/9wrvoz2RWo
2019-08-20 Geo-industrial clusters - paper, data visualizations and Python code

Nature Paper:
https://t.co/3ZklhcMwJu

#flow #dataviz #sector #louvain

GitHub:
https://t.co/BmqaQcX2pL https://t.co/Wt4q0WkE9S
2019-08-20 Deep Squeak

Pioneering work using deep-learning based universal translator for the ultra-high frequency utterances of RATs speak

Paper:
https://t.co/3L2AUkDJGV

MATLAB & Simulink source code: https://t.co/QEPTf1j48B

FLAC audio squeal files:
https://t.co/dlotCbtyrr https://t.co/ZJfanD7JTw
2019-08-20 This paper determines that order flow imbalance explains 65% of price movements & market impact can be modeled by a linear function where the coefficient is dynamic & based on a Kalman filter & multiplicative autoregressive dynamics

#TCA #Kalman #lob
https://t.co/RnxEVW8vOg https://t.co/dEeeL7USRe
2019-08-20 Interesting empirical analysis of how many different entities do mobile apps send their information to

https://t.co/GeMtQirrgU

#GDPR
#privacy
#cybersecurity https://t.co/wDOS7dR8GG
2019-08-20 Optimal portfolio trading incorporating limit order book, transaction and market impact costs - #lob and #tca paper

https://t.co/PwLM6su2Aw https://t.co/0KjhbYav1R
2019-08-19 Interesting compendium of buy-side perspectives on US Equity Exchanges from @TabbFORUM
https://t.co/KWquilUuoN https://t.co/Gu60rQwAq1
2019-08-18 @ElizabethFlux I’m a “paper-tape reader-punch for a PDP-8” years-old and back then we measured all in kibibytes #kiB. https://t.co/wQfURInI5M
2019-08-18 Hmmm

“Kaspersky has created a dangerous tracking mechanism that makes tracking cookies look old. In that case, websites can track Kaspersky users, even if they switch to a different browser. Worse … can even overcome the browser’s incognito mode.”
https://t.co/YkjTcATRke
2019-08-17 NBER broker intermediation paper

“While the average investor values these broker services, there is substantial heterogeneity across investors. Hedge funds place almost no value on sell-side research, but place a large premium on order flow information”

https://t.co/1VclUj7jf1 https://t.co/3n0mD1LJ1Q
2019-08-17 Do not think that a patent should be awarded to Trading Technologies for FIX Translation methods, since this type of processing has existed in many forms since the dawn of FIX -

#PriorArt #patent

https://t.co/VB26oKmwz0 https://t.co/VBOHOOefHX
2019-08-17 Volatility and limit order book modeling #lob dissertation

https://t.co/HX1LMi0x5v https://t.co/LnAYm5nTWF
2019-08-17 Learn sector classifications using machine learning

#ml #flow #GICS

https://t.co/dh56wNrP6k https://t.co/1h8aoqwMGy
2019-08-16 From meta-coordination to discord to slack-ing-off and everything in between
https://t.co/rZsJie7ffm
2019-08-15 The effect of Twitter corporate information dissemination on cost of equity - large study on US public firms

https://t.co/G0zxWJaO7A
2019-08-15 Paper on impact of US stock market trade intensity spillover across international markets - a number of different measures analyzed and summarized empirically.

#flow
#tca

https://t.co/H8y1zzkN29
2019-08-15 Agree completely - innovation has to be decentralized and woven into the DNA of the enterprise everwhere: each business unit, each product team, each technology team and integrated into roadmaps and financial plans.
https://t.co/GZ1zBhd40w
2019-08-14 Title says it all

Huge Survey of Firmware Finds No #CyberSecurity Gains in 15 Years
https://t.co/ZEMhzCOnc4
2019-08-14 mystical art of machine learning model #pipeline of validation to deployment to canary testing (in SageMaker) https://t.co/xyjzYzxZxn
2019-08-14 Article on the power of idiomatic R in trading

#rstats

Via @jkregenstein
https://t.co/L1cqljk0JV
2019-08-13 @ltabb Inspired to post by the great minds behind those papers I come across.

Thanks for the shout-out Larry!
2019-08-13 Techlash impact on hiring…

https://t.co/IlyfpoJzsw
2019-08-13 Deep and machine learning applied to derivatives hedging and valuation…
https://t.co/6IXqptf6mi
2019-08-13 Latency and an FX limit order book model #lob

https://t.co/w8QVnOlpzb https://t.co/6Mn4qTrbu8
2019-08-13 Instantaneous realized volatility paper

https://t.co/VZqPhxww64 https://t.co/6XEWCD5ji7
2019-08-13 Factor models and their transaction costs - #Tca paper
https://t.co/BrD0GxgkEr https://t.co/qAVacMYgIe
2019-08-13 Metaorder limit order book modeling and transaction cost analytics

https://t.co/z48DwLk244

#tca #lob paper https://t.co/syQcHo6o5t
2019-08-13 CFTC paper on stylized facts, transaction cost and limit order book analysis of futures contracts

https://t.co/ovctBPZ9Zj

#lob #tca https://t.co/hDodH93llD
2019-08-12 Thermometr anomaly detection for Pandas time series coded in open-source Python and using a Twitter S-H-ESD Algorithm with an ARIMA based validation

https://t.co/pFwiErFbl7
2019-08-11 Anomaly detection with Python code - SVM, Isolation Forest…

Article:
https://t.co/kVHVix0Vn1

Notebook:
https://t.co/qhxeuJNS6m
2019-08-11 List of Open Startups

https://t.co/MukJVfkr6F
2019-08-11 SELECT code_execution FROM *
USING SQLite;

Cybersecurity hack
https://t.co/CC29QiBwGw
2019-08-11 Startup Cohort Revenue LTV curves in Python and https://t.co/jZI5nvaiOQ
https://t.co/xVC5Y2beW5 https://t.co/HhPpNFd80P
2019-08-11 Machine learning in asset management:

15 distinct trading varieties and around 100 trading strategies

Paper with many code links:
https://t.co/0RRX0bxxHv

GitHub links:
https://t.co/3hO2w9bTTt https://t.co/lFuGIbFxAv
2019-08-11 Oil and other commodity trends as bond predictors - paper

https://t.co/apuqjvMG5B
2019-08-11 Bottoms-up approach to modeling trading strategies inspires alternative methods including HFFF (High-Frequency Financial Funnel) & Particle Filters to model trading at a low level inclusive of market-impact effects & market simulations - paper

#hft #lob

https://t.co/c6MILHaHZP https://t.co/6YWdTdJnih
2019-08-10 Bank of England paper on Machine learning expandability (in default risk)

https://t.co/53hynZ7rOx https://t.co/VjqcyF1zZI
2019-08-10 Anomaly detection using extended isolation forests coded in Python profiled in this article

https://t.co/JGTXrgJL7c https://t.co/jwGxUPXdyX
2019-08-10 Deep denoising autoencoding and isolation forest anomaly detection algorithms applied to algorithmic trading

#ml #algo #IS paper

https://t.co/IdzCYQSryD https://t.co/B6beli2VGr
2019-08-10 TheAtlantic on the need for a new science of Progress

https://t.co/IxjALW1AnU
2019-08-10 Re: String Theory Wars

https://t.co/UNKYPgTzPf
2019-08-10 Defending against neural #fakenews

Background:
https://t.co/4VeNsC1NVj

Paper:
https://t.co/eiPtPI6pFK

Python Source:
https://t.co/FqaEcqr75i

#misinformation
2019-08-09 BERT vs Ernie
Faceoff of #NLP Models

https://t.co/EnJpEv0pge
2019-08-09 Interpretable machine learning libraries in Python profiled:

ELI5,
yellowbrick,
MLxtend,
and Lime

https://t.co/2Sg7Eoxiqh https://t.co/0EvQXsxXDZ
2019-08-08 WSJ article on SFTI
#hft #NYSE
https://t.co/yh7PXZLAB1
2019-08-08 BEEMKA cybersecurity injection hack of Electron Apps
https://t.co/bDHFCQG1os
2019-08-08 Team and Product State Classification
https://t.co/UGqi6cX8t8 https://t.co/CvikmYeVes
2019-08-07 FT on emergence of generalized #AI as function of rise in networked compute power, new neuromorphic chips and new innovations in reasoning and symbolic logic
https://t.co/YiTZWMQ61d
2019-08-07 Dissertation on Algorithmic Trading with closed form solution

#meanfield #latentfactors and large scale stochastic games

By @phil_casgrain

https://t.co/ubuhzK6Jyi

And related paper:
https://t.co/URBv4Xk